Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance (Q3505324): Difference between revisions

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+https://doi.org/10.1111/j.1467-9892.2007.00530.x
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+W2150997023
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+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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+Testing for a unit root in the presence of a variance shift
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+Unit root tests with a break in innovation variance.
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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+On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
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