Testing stationarity under a permanent variance shift

Economics Letters

Volumn 82, Issue 3, 2004, Pages 403-408

  Cavaliere, Giuseppe ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Integrated processes; Stationarity tests; Structural breaks

Indexed keywords

EID: 0842303735     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2003.08.014     Document Type: Article

References (6)

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3. Kim K. Schmidt P. Unit root tests with conditional heteroskedasticity Journal of Econometrics 59 1993 287-300
4. Kim T.H. Leybourne S. Newbold P. Unit root tests with a break in innovation variance Journal of Econometrics 109 2002 365-387
5. Kwiatkowski D. Phillips P.C.B. Schmidt P. Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic series have a unit root? Journal of Econometrics 54 1992 159-178
6. Nelson C.R. Piger J. Zivot E. Markov regime-switching and unit root tests Journal of Business and Economics Statistics 19 2001 404-415