Non-parametric seasonal unit root tests under periodic non-stationary volatility

This paper presents a new non-parametric seasonal unit root testing framework that is robust to periodic non-stationary volatility in innovation variance by making an extension to the fractional seasonal variance ratio unit root tests of Eroğlu et al. (Econ Lett 167:75–80, 2018). The setup allows fo...

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Detalles Bibliográficos
Autores principales: Gög̃ebakan, Kemal Çag̃lar, Eroglu, Burak Alparslan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8901101/
https://www.ncbi.nlm.nih.gov/pubmed/35283559
http://dx.doi.org/10.1007/s00180-022-01211-w

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8901101/
https://www.ncbi.nlm.nih.gov/pubmed/35283559
http://dx.doi.org/10.1007/s00180-022-01211-w

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