HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

Giuseppe Cavaliere () and Robert Taylor

Econometric Theory, 2009, vol. 25, issue 05, pages 1228-1276

Abstract: In this paper we provide a unified theory, and associated invariance principle, for the large-sample distributions of the Dickey based approach. Results are initially presented in the context of martingale differences and are later generalized to allow for weak dependence. Monte Carlo evidence is also provided that suggests that our proposed bootstrap tests perform very well in finite samples in the presence of a range of innovation processes displaying nonstationary volatility and/or weak dependence.

Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:05:p:1228-1276_09

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