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

• 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
• Institution: 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...