Temporal aggregation and the power of tests for a unit root
โ Scribed by R.G. Pierse; A.J. Snell
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 789 KB
- Volume
- 65
- Category
- Article
- ISSN
- 0304-4076
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We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonst
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un
## Abstract Testing the existence of unit root and/or level change is necessary in order to understand the underlying processes of time series. In many studies carried out so far, the focus was only on a single aspect of unit root and level change, therefore limiting a full assessment of the given
The authors are grateful to Mark J. Powers, the editor, and two anonymous referees for their helpful comments and suggestions. Valuable comments on earlier versions from Thomas Schwarz and Fumi Quong are also greatly appreciated. The views stated in this article are those of the authors and do not n