Adaptive wild bootstrap tests for a unit root with nonstationary volatility
Recent research has emphasised that permanent changes in the innovation variance (caused by structural shifts or an integrated volatility process) lead to size distortions in conventional unit root tests. Cavaliere and Taylor (2008) show how these size distortions may be resolved using the wild boot...
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| Format: | Article |
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Wiley
2018
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| Online Access: | https://eprints.nottingham.ac.uk/44403/ |