Cavaliere, Giuseppe; Phillips, Peter C.B.; Smeekes, Stephan - Cowles Foundation for Research in Economics, Yale University - 2012
data-dependent methods of lag selection in augmented Dickey-Fuller type unit root test regressions and propose new lag … root test regression is a deterministic function of the sample size, rather than data-determined, the latter being standard … driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit …