TY  - BOOK
AU  - Kew,Hsein
AU  - Harris, David
TI  - Heteroskedasticity-robust testing for a fractional unit root
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Heteroscedasticity
KW  - Unit root test
N2  - 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
UR  - https://doi.org/10.1017/S0266466609990314
ER  -