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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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2016.1274282 |