Lag length selection for unit root tests in the presence of nonstationary volatility
Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes and A. M. Robert Taylor
| Year of publication: |
2011
|
|---|---|
| Authors: | Cavaliere, Giuseppe ; Phillips, Peter C. B. ; Smeekes, Stephan ; Taylor, Robert |
| Publisher: |
New Haven, Conn. : Cowles Foundation for Research in Economics, Yale Univ. |
| Subject: | Theorie | Theory | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Lag-Modell | Lag model |
| Extent: | Online-Ressource (35 S., 356,34 KB) graph. Darst. |
|---|---|
| Series: | Cowles Foundation discussion paper. - New Haven, Conn. : [Verlag nicht ermittelbar], ZDB-ID 2195818-X. - Vol. 1844 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009412262