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Unit root testing with stationary covariates and a structural break in the trend function
Fossati, Sebastian, (2011)
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe, (2015)
Is the efficient market hypothesis day-of-the-week dependent? : evidence from the banking sector
Narayan, Paresh Kumar, (2015)
Nonparametric estimation in a nonlinear cointegration type model
Karlsen, Hans Arnfinn, (2000)
Nonparametric estimation in null recurrent times series
Karlsen, Hans Arnfinn, (1998)