Testing for unit roots in time series models with non-stationary volatility

Journal of Econometrics

Volumn 140, Issue 2, 2007, Pages 919-947

  Cavaliere, Giuseppe ^a   Taylor, A M Robert ^b  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Integrated process; Non stationary volatility; Unit root test; Variance profile

Indexed keywords

COMPUTER SIMULATION; NUMERICAL METHODS; STATISTICS; TIME SERIES ANALYSIS;

INTEGRATED PROCESS; NON-STATIONARY VOLATILITY; UNIT ROOT TESTS; VARIANCE PROFILES;

MATHEMATICAL MODELS;

EID: 34547678031     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.07.019     Document Type: Article

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