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Unit Root Testing with Unstable Volatility. (2008). Beare, Brendan.
In: Economics Papers.
RePEc:nuf:econwp:0806.

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  1. Adaptive Testing for Cointegration with Nonstationary Volatility. (2019). Boswijk, H. Peter ; Zu, Yang.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190043.

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  2. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility. (2016). Taylor, Robert ; Skrobotov, Anton ; Cavaliere, Giuseppe.
    In: Working Papers.
    RePEc:gai:wpaper:wpaper-2016-269.

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  3. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. (2015). Taylor, Robert ; Smeekes, Stephan ; Phillips, Peter ; Cavaliere, Giuseppe ; A. M. Robert Taylor, ; Peter C. B. Phillips, .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:34:y:2015:i:4:p:512-536.

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  4. Nonstationary-volatility robust panel unit root tests and the great moderation. (2015). Czudaj, Robert ; Hanck, Christoph.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:99:y:2015:i:2:p:161-187.

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  5. .

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  6. Heteroscedasticity Robust Panel Unit Root Tests. (2014). Westerlund, Joakim.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:1:p:112-135.

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  7. Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation. (2013). Czudaj, Robert ; Hanck, Christoph .
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79734.

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  8. Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation. (2013). Czudaj, Robert ; Hanck, Christoph .
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:434.

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  9. Robustifying multivariate trend tests to nonstationary volatility. (2012). Xu, Ke-Li.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:2:p:147-154.

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  10. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. (2012). Taylor, Robert ; Smeekes, Stephan ; Phillips, Peter ; Cavaliere, Giuseppe ; A. M. Robert Taylor, ; Peter C. B. Phillips, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1844.

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  11. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. (2011). Taylor, Robert ; Smeekes, Stephan ; Phillips, Peter ; Cavaliere, Giuseppe ; Phillips Peter C. B., ; Taylor A. M. Robert, .
    In: Research Memorandum.
    RePEc:unm:umamet:2011056.

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  12. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors. (2011). Gospodinov, Nikolay ; Tao, YE.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:30:y:2011:i:4:p:379-405.

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References

References cited by this document

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  25. STOCK, J. H. (1999). A class of tests for integration and cointegration. In Engle, R. F. and White, H. (eds.) Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W. J. Granger 137-167. Oxford University Press.

  26. WONG, W. H. (1983). On the consistency of cross validation in kernel nonparametric regression.
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