Unit root testing with slowly varying trends
نویسندگان
چکیده
منابع مشابه
Unit Root Testing with Unstable Volatility
It is known that unit root test statistics may not have the usual asymptotic properties when the variance of innovations is unstable. In particular, persistent changes in volatility can cause the size of unit root tests to differ from the nominal level. In this paper we propose a class of modified unit root test statistics that are robust to the presence of unstable volatility. The modification...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2020
ISSN: 0143-9782,1467-9892
DOI: 10.1111/jtsa.12557