Testing for unit roots in time series models with non-stationary volatility

DOI10.1016/j.jeconom.2006.07.019zbMath1247.91131MaRDI QIDQ451288

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.019

zbMATH Keywords

integrated process; unit root test; non-stationary volatility; variance profile

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

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