Cargando…
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...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
|
| Materias: | |
| 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 |