STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS

By Giuseppe Cavaliere, Alan M. Taylor. Econometric Theory, 2005

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/cbd4c3c8112aa49818aa18745ba0f6902b626979

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Giuseppe Cavaliere
2. Alan M. Taylor
3. Robert J. Taylor
4. Matei Demetrescu
5. S. Leybourne
6. Christoph Hanck
7. M. Schularick
8. David I. Harvey

In Finance

1. Giuseppe Cavaliere
2. Alan M. Taylor
3. M. Schularick
4. Hélène Rey
5. Thomas Steger
6. S. Leybourne
7. Ò. Jordà
8. Fang Xu

In Statistics and Probability

1. Giuseppe Cavaliere
2. Alan M. Taylor

Citations in the corpus

• Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, methodology): “In order to account for xt, the test builds on Hansen’s (2000) heteroskedastic fixed regressor, or wild, bootstrap; see also Cavaliere and Taylor (2005).”