Bounded unit root processes with non-stationary volatility

This article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside interval. These are investigated separately in literature shown to cause problems, size distortions. In this article, we consider presence of both tests simultaneously. The simulation results indicate that previous methods fail provide satisfactory inference performance simultaneous these conditions. To alleviate issue, propose robust mechanism derive procedure’s asymptotic properties.