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Persistent link: https://www.econbiz.de/10011430513

Panel versus GARCH information in unit root testing with an application to financial markets

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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes

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Size distortion of bootstrap tests: application to a unit root test

Davidson, Russell - HAL - 2009

Testing for a unit root in a series obtained by summing a stationary MA(1) process with a parameter close to -1 leads to serious size distortions under the null, on account of the near cancellation of the unit root by the MA component in the driving stationary series. The situation is analysed...

Persistent link: https://www.econbiz.de/10008794177

Bias correction of KPSS test with structural break for reducing of size distortion

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Do the lag lengths matter in terms of size and power properties of nonlinear unit root tests?

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Wavelet energy ratio unit root tests

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Bootstrap model averaging unit root inference

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Does convergence of incomes still exist among developed economies? : time series evidence in G7 countries

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Purchasing power parity in OECD countries : nonlinear unit root tests revisited

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