On the Dickey-Fuller test with white standard errors (Q451360): Difference between revisions

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+https://doi.org/10.1007/s00362-007-0112-1
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+W2079136916
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Unit Root Tests under Time-Varying Variances
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+ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+Time Series Regression with a Unit Root
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+Properties of recursive trend-adjusted unit root tests
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+Testing for unit roots in autoregressive-moving average models of unknown order
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+Distribution theory for unit root tests with conditional heteroskedasticity
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+recursive Mean Adjustment for Unit Root Tests
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+Recursive mean adjustment and tests for nonstationarities
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+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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