Wild bootstrap tests for unit root in ESTAR models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10260-014-0289-0.pdf
Reference25 articles.
1. Busetti F, Taylor AMR (2003) Variance shifts, structural breaks, and stationarity tests. J Bus Econ Stat 21:510–531
2. Cavaliere G (2004a) Testing stationarity under a permanent variance shift. Econ Lett 82:403–408
3. Cavaliere G (2004b) Unit root tests under time-varying variances. Economet Revi 23:259–292
4. Cavaliere G, Taylor AMR (2007) Testing for unit roots in time series models with non-stationary volatility. J Economet 140:919–947
5. Cavaliere G, Taylor AMR (2008) Bootstrap unit root tests for time series with nonstationary volatility. Economet Theory 24:43–71
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