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On the choice of test for a unit root when the errors are conditionally heteroskedastic

Westerlund, Joakim 2014, On the choice of test for a unit root when the errors are conditionally heteroskedastic, Computational statistics & data analysis, vol. 69, pp. 40-53, doi: 10.1016/j.csda.2013.07.022.

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Title On the choice of test for a unit root when the errors are conditionally heteroskedastic
Author(s) Westerlund, Joakim
Journal name Computational statistics & data analysis
Volume number 69
Start page 40
End page 53
Total pages 14
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2014-01
ISSN 0167-9473
Summary It is well known that in the context of the classical regression model with heteroskedastic errors, while ordinary least squares (OLS) is not efficient, the weighted least squares (WLS) and quasi-maximum likelihood (QML) estimators that utilize the information contained in the heteroskedasticity are. In the context of unit root testing with conditional heteroskedasticity, while intuition suggests that a similar result should apply, the relative performance of the tests associated with the OLS, WLS and QML estimators is not well understood. In particular, while QML has been shown to be able to generate more powerful tests than OLS, not much is known regarding the relative performance of the WLS-based test. By providing an in-depth comparison of the tests, the current paper fills this gap in the literature.
Language eng
DOI 10.1016/j.csda.2013.07.022
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30072144

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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