Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Year of publication: |
2012
|
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Authors: | Cavaliere, Giuseppe |
Other Persons: | Phillips, Peter C. B. (contributor) ; Smeekes, Stephan (contributor) ; Taylor, A. M. Robert (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Lag-Modell | Lag model |
Extent: | 1 Online-Ressource (36 p) |
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Series: | Cowles Foundation Discussion Paper ; No. 1844 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.1981983 [DOI] |
Classification: | C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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