Robust heteroskedasticity-robust tests
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DOI: 10.1016/j.econlet.2017.07.008
Abstract: Hausman and Palmer (2012) suggest using the Edgeworth corrected critical values of Rothenberg (1988) along with a pairs bootstrap covariance matrix estimator in order to obtain second order correct heteroskedasticity-robust inferences. According to their simulations,… read more here.
Keywords: heteroskedasticity robust; robust tests; robust heteroskedasticity; heteroskedasticity ... See more keywords
Limit theory for explosive autoregression under conditional heteroskedasticity
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DOI: 10.1016/j.jspi.2017.10.008
Abstract: Abstract This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t -statistics, heteroskedasticity-consistent t -statistics and GLS t -statistics are derived for nonstationary local-to-unity and mildly explosive roots,… read more here.
Keywords: theory explosive; autoregression; autoregression conditional; heteroskedasticity ... See more keywords
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
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DOI: 10.1080/07474938.2014.999499
Abstract: ABSTRACT It is quite common to observe heteroskedasticity in real data, in particular, cross-sectional or micro data. Previous studies concentrate on improving the finite-sample properties of tests under heteroskedasticity of unknown forms in linear models.… read more here.
Keywords: nonlinear models; sample refinement; heteroskedasticity unknown; finite sample ... See more keywords
Testing for a unit root with nonstationary nonlinear heteroskedasticity
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DOI: 10.1080/07474938.2020.1721833
Abstract: Abstract We provide a large sample theory for the Dickey-Fuller unit root test when the volatility process is driven by a nonlinear transformation of nonstationary time series. Our theory allows the dynamics of future volatilities… read more here.
Keywords: testing unit; unit; heteroskedasticity; unit root ... See more keywords