Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility-Reference-Cited by-同舟云学术

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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cavaliere Giuseppe,Phillips Peter C. B.,Smeekes Stephan,Taylor A. M. Robert

Publisher

Elsevier BV

Reference18 articles.

1. Testing against stochastic trend in the presence of variance shifts;F Busetti;Journal of Business and Economic Statistics,2003

2. Testing for unit roots in time series models with non-stationary volatility;G Cavaliere;Journal of Econometrics,2007

3. Bootstrap unit root tests for time series with nonstationary volatility;G Cavaliere;Econometric Theory,2008

4. Bootstrap M unit root tests;G Cavaliere;Econometric Reviews,2009

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility;Econometric Reviews;2014-11-07

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