Demetrescu, Matei; Hanck, Christoph - In: Statistical Papers 54 (2013) 4, pp. 1043-1066
The paper examines the behavior of a generalized version of the nonlinear IV unit root test proposed by Chang (<CitationRef CitationID="CR6">2002</CitationRef>) when the series’ errors exhibit nonstationary volatility. The leading case of such nonstationary volatility concerns structural breaks in the error variance. We show that the...</citationref>
