Zhang, Jin-Yu; Li, Yong; Chen, Zhu-Ming - In: Computational Economics 41 (2013) 1, pp. 89-100
This paper investigates the impact of stochastic volatility on the Dickey–Fuller unit root test. Monte Carlo simulations show that the test size is seriously distorted if nonstationary stochastic volatility is ignored. To improve the performance of the test, we propose a Bayesian test for unit...