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

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).

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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

DOI: doi:10.1080/07474938.2013.808065

ISSN: 0747-4938

PURE UUID: 332b5c37-4332-4962-83fb-d27662184b00

ORCID for Peter C.B. Phillips:

orcid.org/0000-0003-2341-0451

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Date deposited: 09 Jun 2017 09:42

Last modified: 15 Mar 2024 12:45

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Contributors

Author: Giuseppe Cavaliere

Author: Peter C.B. Phillips

Author: Stephan Smeekes

Author: A.M. Robert Taylor

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