A nonparametric unit root test under nonstationary volatility
Date
2016
Authors
Eroğlu, B. A.
Yiğit, T.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Economics Letters
Print ISSN
0165-1765
Electronic ISSN
1873-7374
Publisher
Elsevier
Volume
140
Issue
Pages
6 - 10
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
Abstract
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.