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 / PreprintWorking paper

470 Downloads (Pure)
Original languageEnglish
Place of PublicationMaastricht
PublisherMETEOR, Maastricht University School of Business and Economics
Number of pages35
Publication statusPublished - 1 Jan 2011

Publication series

SeriesMETEOR Research Memorandum

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