Browsing by Subject "Unit root testing"
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Item Open Access A nonparametric unit root test under nonstationary volatility(Elsevier, 2016) Eroğlu, B. A.; Yiğit, T.We develop a new nonparametric unit root testing method that is robust to permanent shifts in innovation variance. Unlike other methods in the literature, our test does not require a parametric specification or lag/bandwidth selection to adjust for serial correlation. © 2016 Elsevier B.V.