A nonparametric unit root test under nonstationary volatility

DOI10.1016/j.econlet.2016.01.005zbMath1398.62232OpenAlexW2276055621MaRDI QIDQ1668133

Burak Alparslan Eroğlu, Taner Yigit

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/36849

zbMATH Keywords

robustunit root testingnonstationary volatilityfractionally integrated time seriesnonparametric unit root testing methodvariance ratio statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

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Non-parametric seasonal unit root tests under periodic non-stationary volatility

Cites Work

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