The performance of unit root tests under level-dependent heteroskedasticity
type: Item
instance of: scholarly article
title: The performance of unit root tests under level-dependent heteroskedasticity
zbMATH Open document ID: 1254.91736
author: Paulo M. M. Rodrigues
author: Antonio Rubia
published in: Economics Letters
publication date: 2013-01-03T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6121823
zbMATH Keywords: interest rates
zbMATH Keywords: DF test
zbMATH Keywords: CKLS
zbMATH Keywords: double-autoregressive process
zbMATH Keywords: nonparametric test
MaRDI profile type: Publication
full work available at URL: j.econlet.2005.05.035
OpenAlex ID: W2046374036
cites work: Strict stationarity of generalized autoregressive processes
cites work: Nonparametric tests for unit roots and cointegration.
cites work: A theory of the term structure of interest rates
cites work: Q4230831
cites work: Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
cites work: Estimation and Testing Stationarity for Double-Autoregressive Models
DOI: 10.1016/J.ECONLET.2005.05.035
description: scientific article; zbMATH DE number 6121823