Lag length selection for unit root tests in the presence of nonstationary volatility
Year of publication: |
2015
|
---|---|
Authors: | Cavaliere, Giuseppe ; Phillips, Peter C. B. ; Smeekes, Stephan ; Taylor, Robert |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 512-536
|
Subject: | Information criteria | Lag selection | Nonstationary volatility | unit root test | Wild bootstrap | Theorie | Theory | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Lag-Modell | Lag model | Zeitreihenanalyse | Time series analysis |
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