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Lag length selection for unit root tests in the presence of nonstationary volatility

Lag length selection for unit root tests in the presence of nonstationary volatility
Lag length selection for unit root tests in the presence of nonstationary volatility
0747-4938
512-536
Cavaliere, Giuseppe
bc8cc215-6d27-4651-9baa-75633a427d73
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Smeekes, Stephan
f4d3bf08-5f8e-48f2-ac98-27d37aa8e0f3
Taylor, A.M. Robert
60365b82-fed1-47cb-a442-3353b86b5301
Cavaliere, Giuseppe
bc8cc215-6d27-4651-9baa-75633a427d73
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Smeekes, Stephan
f4d3bf08-5f8e-48f2-ac98-27d37aa8e0f3
Taylor, A.M. Robert
60365b82-fed1-47cb-a442-3353b86b5301

Cavaliere, Giuseppe, Phillips, Peter C.B., Smeekes, Stephan and Taylor, A.M. Robert (2015) Lag length selection for unit root tests in the presence of nonstationary volatility. Econometric Reviews, 34 (4), 512-536. (doi:10.1080/07474938.2013.808065).

Record type: Article

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Published date: 21 April 2015
Organisations: Economics

Identifiers

Local EPrints ID: 410823
URI: http://eprints.soton.ac.uk/id/eprint/410823
ISSN: 0747-4938
PURE UUID: 332b5c37-4332-4962-83fb-d27662184b00
ORCID for Peter C.B. Phillips: ORCID iD orcid.org/0000-0003-2341-0451

Catalogue record

Date deposited: 09 Jun 2017 09:42
Last modified: 03 Dec 2019 01:42

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