Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
Year of publication: |
2009-12
|
---|---|
Authors: | Cavaliere, Giuseppe ; Harvey, David I. ; Leybourne, Stephen J. ; Taylor, A. M. Robert |
Institutions: | Granger Centre for Time Series Econometrics, School of Economics |
Subject: | Unit root tests | quasi difference de-trending | trend break | non-stationary volatility | wild bootstrap |
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