Now showing items 1-2 of 2

    • 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 ...
    • Wavelet energy ratio unit root tests 

      Trokić, M. (Taylor and Francis Inc., 2016)
      This article uses wavelet theory to propose a frequency domain nonparametric and tuning parameter-free family of unit root tests. The proposed test exploits the wavelet power spectrum of the observed series and its fractional ...