Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation

In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of the...

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Bibliographic Details
Main Author: Panagiotis Mantalos
Format: Article
Language:English
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Subjects:
Online Access:http://dx.doi.org/10.1080/23322039.2016.1274282