Unit root tests with a break in innovation variance.
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Publication:1858958
DOI10.1016/S0304-4076(02)00118-5zbMath1043.62107OpenAlexW2135002783MaRDI QIDQ1858958
Tae-Hwan Kim, Paul Newbold, Stephen J. Leybourne
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00118-5
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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