REJOINDER

DOI10.1017/S0266466608090245zbMath1277.62211OpenAlexW4235347282MaRDI QIDQ3181941

Stephen J. Leybourne, David I. Harvey, A. M. Robert Taylor

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090245

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

Cites Work

• Minimizing the impact of the initial condition on testing for unit roots
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Ancillaries and conditional inference (with comments and rejoinder)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power