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

G. Cavaliere, P.C.B. Phillips, S. Smeekes, A.M.R. Taylor

Research output: Working paper / Preprint › Working paper

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Original language	English
Place of Publication	Maastricht
Publisher	METEOR, Maastricht University School of Business and Economics
Number of pages	35
DOIs	https://doi.org/10.26481/umamet.2011056
Publication status	Published - 1 Jan 2011

Series	METEOR Research Memorandum
Number	056

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