A nonparametric unit root test under nonstationary volatility

Burak Alparslan Eroğlu and Taner Yigit

Economics Letters, 2016, vol. 140, issue C, 6-10

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.

Keywords: Nonstationary volatility; Fractionally integrated time series; Variance ratio statistic; Unit root testing (search for similar items in EconPapers)
JEL-codes: C12 C14 C2 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516000082
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:140:y:2016:i:c:p:6-10

DOI: 10.1016/j.econlet.2016.01.005

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().