Eroğlu, B. A.Yiğit, T.2018-04-122018-04-1220160165-1765http://hdl.handle.net/11693/36849We 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.EnglishFractionally integrated time seriesNonstationary volatilityUnit root testingVariance ratio statisticA nonparametric unit root test under nonstationary volatilityArticle10.1016/j.econlet.2016.01.0051873-7374