Lag length selection for unit root tests in the presence of nonstationary volatility

Lag length selection for unit root tests in the presence of nonstationary volatility

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather th...

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Bibliographic Details
Main Authors: CAVALIERE, Giuseppe, PHILLIPS, Peter C. B., SMEEKES, Stephan, TAYLOR, A. M. Robert
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Nonstationary volatility
Lag selection
Information criteria
Wild bootstrap
Unit root test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1970
https://ink.library.smu.edu.sg/context/soe_research/article/2969/viewcontent/Lag_Length_URT_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1970
https://ink.library.smu.edu.sg/context/soe_research/article/2969/viewcontent/Lag_Length_URT_sv.pdf

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