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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| Main Authors: | , , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2015
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| 在線閱讀: | 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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