Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
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Publication:5080520
DOI10.1080/07474938.2013.808065zbMath1491.62089OpenAlexW1652450612WikidataQ59107872 ScholiaQ59107872MaRDI QIDQ5080520
Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor, Giuseppe Cavaliere
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/40b8b346-f11d-46b6-bedb-3bcca9683336
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)
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