Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Author:
Funder
Economic and Social Research Council of the United Kingdom
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference43 articles.
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3. Adaptive wild bootstrap testing for a unit root with nonstationary volatility;Boswijk;Econom. J.,2018
4. GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses;Carrion-i-Silvestre;Econometric Theory,2009
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