On the choice of test for a unit root when the errors are conditionally heteroskedastic
Year of publication: |
2014
|
---|---|
Authors: | Westerlund, Joakim |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 69.2014, C, p. 40-53
|
Publisher: |
Elsevier |
Subject: | Unit root test | Conditional heteroskedasticity | ARCH |
-
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong, (2020)
-
Gungor, Sermin, (2020)
-
Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava, (2013)
- More ...
-
Common Breaks in Means for Cross‐Correlated Fixed‐ T Panel Data
Westerlund, Joakim, (2018)
-
On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
Westerlund, Joakim, (2018)
-
A cross‐section average‐based principal components approach for fixed‐ T panels
Westerlund, Joakim, (2020)
- More ...