کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097232 1478582 2007 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for unit roots in time series models with non-stationary volatility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Testing for unit roots in time series models with non-stationary volatility
چکیده انگلیسی
Many of the key macro-economic and financial variables in developed economies are characterized by permanent volatility shifts. It is known that conventional unit root tests are potentially unreliable in the presence of such behaviour, depending on a particular function (the variance profile) of the underlying volatility process. Somewhat surprisingly then, very little work has been undertaken to develop unit root tests which are robust to the presence of permanent volatility shifts. In this paper we fill this gap in the literature by proposing tests which are valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt and smooth-transition) volatility change processes as special cases. Our solution uses numerical methods to simulate the asymptotic null distribution of the statistics based on a consistent estimate of the variance profile which we also develop. The practitioner is not required to specify a parametric model for volatility. An empirical illustration using producer price inflation series from the Stock-Watson database is reported.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 140, Issue 2, October 2007, Pages 919-947
نویسندگان
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