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

• المؤلفون الرئيسيون: CAVALIERE, Giuseppe, PHILLIPS, Peter C. B., SMEEKES, Stephan, TAYLOR, A. M. Robert
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2015
• الموضوعات: Nonstationary volatility; Lag selection; Information criteria; Wild bootstrap; Unit root test; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...