Now showing items 1-2 of 2

    • Improving inference in integration and cointegration tests 

      Eroğlu, Burak Alparslan (Bilkent University, 2016-05)
      In this thesis, I address three di erent problems in unit root and cointegration models and I propose new methods to improve inference in testing procedures for these models. Two of these problems are related to unit ...
    • A nonparametric unit root test under nonstationary volatility 

      Eroğlu, B. A.; Yiğit, T. (Elsevier, 2016)
      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 ...