Giuseppe, Cavaliere; Phillips Peter C.B.; Stephan, Smeekes - Maastricht : METEOR, Maastricht Research School of … - 2011
A number of recently published papers have focused on the problem of testing for a unit root inthe case where the driving shocks may be unconditionally heteroskedastic. These papers have,however, assumed that the lag length in the unit root test regression is a deterministic functionof the...