Adaptive wild bootstrap tests for a unit root with nonstationary volatility

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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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Bibliographic Details
Main Authors:	Boswijk, Peter, Zu, Yang
Format:	Article
Published:	Wiley 2018
Subjects:	Unit root Adaptive testing Nonparametric estimation Power envelope Wild boot-strap
Online Access:	https://eprints.nottingham.ac.uk/44403/

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