Lag length selection for unit root tests in the presence of nonstationary volatility

Giuseppe Cavaliere, Peter Phillips, Stephan Smeekes and Robert Taylor

No 56, Research Memorandum from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)

Date: 2011-01-01
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Related works:
Journal Article: Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (2015)
Working Paper: Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umamet:2011056

DOI: 10.26481/umamet.2011056

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