Adaptive wild bootstrap tests for a unit root with non-stationary volatility
(2018)
Journal Article
Boswijk, P., & Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility. Econometrics Journal, 21(2), 87-113. https://doi.org/10.1111/ectj.12100
© 2017 The Authors. The Econometrics Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society. Recent research has emphasized that permanent changes in the innovation variance (caused by structural shifts or an integrated vola... Read More about Adaptive wild bootstrap tests for a unit root with non-stationary volatility.