Two simple tests of the trend hypothesis under time-varying variance
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.04.030
Abstract: This paper investigates the effects of time-varying variance on the linear trend tests proposed by Harvey et al. (2007) (HLT) and Perron and Yabu (2009) (PY) and finds time-varying variance results in obviously different null distributions.… read more here.
Keywords: time varying; trend; varying variance; two simple ... See more keywords
Testing for no-cointegration under time-varying variance
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DOI: 10.1016/j.econlet.2019.06.001
Abstract: In this paper, we extend the residual-based Dickey–Fuller (DF) and Zt cointegration tests to allow for time-varying variance and obtain their asymptotic null distributions under this circumstance. To deal with time-varying variance, we develop two… read more here.
Keywords: time varying; time; testing cointegration; varying variance ... See more keywords
Testing for structural changes in linear regressions with time-varying variance
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1609038
Abstract: Abstract This article proposes a nonparametric test for structural changes in linear regression models that allows for serial correlation, autoregressive conditional heteroskedasticity and time-varying variance in error terms. The test requires no trimming of the… read more here.
Keywords: structural changes; varying variance; time varying; changes linear ... See more keywords