A nonparametric unit root test under nonstationary volatility

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 140
Issue: C
Pages: 6-10

Authors (2)

Eroğlu, Burak Alparslan (not in RePEc) Yiğit, Taner (Bilkent Üniversitesi)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop a new nonparametric unit root testing method that is robust to permanent shifts in innovation variance. Unlike other methods in the literature, our test does not require a parametric specification or lag/bandwidth selection to adjust for serial correlation.

Technical Details

RePEc Handle
repec:eee:ecolet:v:140:y:2016:i:c:p:6-10
Journal Field
General
Author Count
2
Added to Database
2026-01-29