Perron, Pierre; Yamamoto, Yohei - In: Econometrics : open access journal 7 (2019) 2/22, pp. 1-11
variance) ignoring changes in the variance (or in the coefficients) induces size distortions and loss of power. Our results … provide some evidence that the procedures suggested by Perron et al. (2019) provide tests with good size and power. …