Share  Bookmark

 Download from



Andersen, T. G., T. Bollerslev, F. X. Diebold, P. Labys (2003), “Modeling and Forecasting Realized Volatility”, Econometrica, 71, 579625.
Beare, B. K. (2004), “Robustifying Unit Root Tests to Permanent Changes in Innovation Variance”, Working paper, Yale University.
Boswijk, H. P. (1995), “Identifiability of Cointegrated Systems”, Tinbergen Institute Discussion Paper # 9578, http://www.ase.uva.nl/pp/bin/258fulltext.pdf.
Boswijk, H. P. (2001), “Testing for a Unit Root with NearIntegrated Volatility”, Tinbergen Institute Discussion Paper # 01077/4, http://www.tinbergen.nl/discussionpapers/01077.pdf.
Boswijk, H. P. (2005), “Adaptive Testing for a Unit Root with Nonstationary Volatility”, UvAEconometrics Discussion Paper 2005/07, http://www.ase.uva.nl/pp/bin/265fulltext.pdf.
Cavaliere, G. (2004), “Unit Root Tests Under TimeVarying Variances”, Econometric Reviews, 23, 259 292.
Cavaliere, G. and A. M. R. Taylor (2007), “Testing for Unit Roots in Time Series Models with Nonstationary Volatility”, Journal of Econometrics, 140, 917947.
Cavaliere, G. and A. M. R. Taylor (2008), “TimeTransformed Unit Root Tests for Models with NonStationary Volatility”, Journal of Time Series Analysis, forthcoming.
Cavaliere, G., A. Rahbek and A. M. R. Taylor (2007), “Testing for Cointegration in Vector Autoregressions with NonStationary Volatility”, Granger Centre Discussion Paper Series 07/02, University of Nottingham, http://www.nottingham.ac.uk/economics/grangercentre/papers/ 0702.pdf.
Chan, N. H. and C. Z. Wei (1988), “Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes”, Annals of Statistics, 16, 367401.