On the Dickey–Fuller test with White standard errors
Year of publication: |
2010
|
---|---|
Authors: | Demetrescu, Matei |
Published in: |
Statistical Papers. - Springer. - Vol. 51.2010, 1, p. 11-25
|
Publisher: |
Springer |
Subject: | Unit root | Local-to-unity | Heteroscedasticity | Robustness |
-
Localized level crossing random walk test robust to the presence of structural breaks
Alexeev, Vitali, (2012)
-
Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks.
Alexeev, Vitali, (2010)
-
Hooi Hooi Lean, (2015)
- More ...
-
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters
Demetrescu, Matei, (2022)
-
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance
Hanck, Christoph, (2012)
-
Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator
Demetrescu, Matei, (2010)
- More ...