Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic Modelling 29 (2012) 5, pp. 2035-2038
Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that...