Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Year of publication: |
2012-01
|
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Authors: | Cavaliere, Giuseppe ; Phillips, Peter C.B. ; Smeekes, Stephan ; Taylor, A.M. Robert |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Unit root test | Lag selection | Information criteria | Wild bootstrap | Nonstationary volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Econometric Reviews (April 2015), 34(4): 512-536 The price is None Number 1844 35 pages |
Classification: | C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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Lag length selection for unit root tests in the presence of nonstationary volatility
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BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
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BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
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