Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Econometric Reviews

Volumn 34, Issue 4, 2015, Pages 512-536

  Cavaliere, Giuseppe ^a   Phillips, Peter C B ^b,e,f,g   Smeekes, Stephan ^c   Taylor, A M Robert ^d  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b YALE UNIVERSITY   (United States)

^c MAASTRICHT UNIVERSITY   (Netherlands)

^d UNIVERSITY OF ESSEX   (United Kingdom)

^e UNIVERSITY OF AUCKLAND   (New Zealand)

^f UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^g SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Information criteria; Lag selection; Nonstationary volatility; Unit root test; Wild bootstrap

Indexed keywords

EID: 84911984049     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2013.808065     Document Type: Article

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