Heteroskedasticity-robust testing for a fractional unit root
Kew, Hsein
Heteroskedasticity-robust testing for a fractional unit root created by Hsein Kew and David Harris - Econometric theory Volume 25, number 6 .
This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White’s heteroskedasticity consistent standard errors (White, 1980). We show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, under both homoskedasticity and heteroskedasticity.
02664666
Heteroscedasticity--Unit root test
HB139.T52 ECO
Heteroskedasticity-robust testing for a fractional unit root created by Hsein Kew and David Harris - Econometric theory Volume 25, number 6 .
This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White’s heteroskedasticity consistent standard errors (White, 1980). We show this approach is effective both asymptotically and in finite samples. We also provide some evidence on the asymptotic local power of different implementations of the tests, under both homoskedasticity and heteroskedasticity.
02664666
Heteroscedasticity--Unit root test
HB139.T52 ECO