Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/07474938.2013.808065
Reference27 articles.
1. Beare , B. K. ( 2008 ). Unit root testing with unstable volatility. Nuffield College Economics Working Paper No. 2008-06. Oxford University .
2. Variance Shifts, Structural Breaks, and Stationarity Tests
3. Cavaliere , G. Phillips , P. C. B. Smeekes , S. Taylor , A. M. R. ( 2012 ). Lag length selection for unit root tests in the presence of nonstationary volatility. Working paper. Available at http://www.personeel.unimaas.nl/s.smeekes/CPSTWP.pdf. Last accessed 11 November 2013 .
4. Testing for unit roots in time series models with non-stationary volatility
5. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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