Stephan Smeekes

affiliation not provided to SSRN

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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna - Department of Economics, University of Auckland Business School, affiliation not provided to SSRN and University of Nottingham - School of Economics
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Abstract:

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Unit root test, Lag selection, Information criteria, Wild bootstrap, Nonstationary volatility