Unit Root Tests under Time-Varying Variances
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Cites work
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- Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
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- Time Series Regression with a Unit Root
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Cited in
(86)- Testing for a unit root in the presence of a variance shift
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- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
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