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BOOTSTRAP DETERMINATION OF THE CO-INTEGRATION RANK IN VECTOR AUTOREGRESSIVE MODELS

Econometrica, 2012-07, Vol.80 (4), p.1721-1740

2012

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Inference on co-integration parameters in heteroskedastic vector autoregressions

Journal of econometrics, 2016-05, Vol.192 (1), p.64-85

2016

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Testing for co-integration in vector autoregressions with non-stationary volatility

Journal of econometrics, 2010-09, Vol.158 (1), p.7-24

2010

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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

Econometric theory, 2010-12, Vol.26 (6), p.1719-1760

2010

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Testing for unit roots in time series models with non-stationary volatility

Journal of econometrics, 2007-10, Vol.140 (2), p.919-947

2007

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Adaptive Inference in Heteroscedastic Fractional Time Series Models

Journal of business & economic statistics, 2022, Vol.40 (1), p.50-65

2022

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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Journal of econometrics, 2017-05, Vol.198 (1), p.165-188

2017

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SIEVE-BASED INFERENCE FOR INFINITE-VARIANCE LINEAR PROCESSES

The Annals of statistics, 2016-08, Vol.44 (4), p.1467-1494

2016

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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Econometric reviews, 2014-08, Vol.33 (5-6), p.606-650

2014

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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

Econometric theory, 2018-04, Vol.34 (2), p.349-382

2018

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UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

Econometric theory, 2018-04, Vol.34 (2), p.302-348

2018

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Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Econometric reviews, 2023-11, Vol.42 (9-10), p.725-757

2023

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Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Econometric reviews, 2019-05, Vol.38 (5), p.509-532

2019

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Journal of econometrics, 2015-08, Vol.187 (2), p.557-579

2015

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Testing for a change in persistence in the presence of non-stationary volatility

Econometrics, 2008-11, Vol.147 (1), p.84-98

2008

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Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

Journal of time series analysis, 2008-03, Vol.29 (2), p.300-330

2008

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BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

Econometric theory, 2008-02, Vol.24 (1), p.43-71

2008

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A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models

Oxford bulletin of economics and statistics, 2015-02, Vol.77 (1), p.106-128

2015

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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

Econometric theory, 2009-10, Vol.25 (5), p.1228-1276

2009

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Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

Oxford bulletin of economics and statistics, 2015-10, Vol.77 (5), p.740-759

2015

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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Econometric reviews, 2015-04, Vol.34 (4), p.512-536

2015

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Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics

Journal of time series analysis, 2015-09, Vol.36 (5), p.603-629

2015

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Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

Journal of time series analysis, 2015-05, Vol.36 (3), p.272-289

2015

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Wild Bootstrap of the Sample Mean in the Infinite Variance Case

Econometric reviews, 2013-02, Vol.32 (2), p.204-219

2013

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Testing for co-integration in vector autoregressions with non-stationary volatility: Twenty Years of Cointegration

Journal of econometrics, 2010, Vol.158 (1), p.7-24

2010

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BOOTSTRAP DETERMINATION OF THE CO-INTEGRATION RANK IN VECTOR AUTOREGRESSIVE MODELS

Inference on co-integration parameters in heteroskedastic vector autoregressions

Testing for co-integration in vector autoregressions with non-stationary volatility

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

Testing for unit roots in time series models with non-stationary volatility

Adaptive Inference in Heteroscedastic Fractional Time Series Models

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

SIEVE-BASED INFERENCE FOR INFINITE-VARIANCE LINEAR PROCESSES

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Testing for a change in persistence in the presence of non-stationary volatility

Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics

Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

Wild Bootstrap of the Sample Mean in the Infinite Variance Case

Testing for co-integration in vector autoregressions with non-stationary volatility: Twenty Years of Cointegration

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