Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
نویسندگان
چکیده
منابع مشابه
Robust critical values for unit root tests for series with conditional heteroskedasticity errors using wild bootstrap
It is known that the normal Dickey-Fuller critical values for unit root tests are distort when conditional heteroskedasticity in the errors is present (Hamori and Tokihisa (1997)). In this paper we will be introducing robust critical values for unit root tests under the presence of conditional heteroskedasticity using wild bootstrapping methodology suggested by Wu (1986). Monte Carlo simulation...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2017
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2017.1348684