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Robust critical values for unit root tests for series with conditional heteroscedasticity errors : an application of the simple NoVaS transformation
Mantalos, Panagiotis - In: Cogent economics & finance 5 (2017) 1, pp. 1-12
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of...
Persistent link: https://www.econbiz.de/10011877334
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-12
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of...
Persistent link: https://www.econbiz.de/10011988724
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - 2012
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In...
Persistent link: https://www.econbiz.de/10012654372
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - Handelshögskolan, Örebro Universitet - 2012
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In...
Persistent link: https://www.econbiz.de/10009651237