A nonparametric unit root test under nonstationary volatility
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DOI: 10.1016/j.econlet.2016.01.005
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More about this item
Keywords
Nonstationary volatility; Fractionally integrated time series; Variance ratio statistic; Unit root testing;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Statistics
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