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: |
2015
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|---|---|
| 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
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| Subject: | Information criteria | Lag selection | Nonstationary volatility | unit root test | Wild bootstrap | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373261