Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis
β Scribed by Jin-Yu Zhang, Yong Li, Zhu-Ming Chen
- Book ID
- 118298670
- Publisher
- Springer US
- Year
- 2012
- Tongue
- English
- Weight
- 214 KB
- Volume
- 41
- Category
- Article
- ISSN
- 1572-9974
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un
## Abstract A number of panel unit root tests that allow for crossβsection dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the crossβdependence of the series before standard panel unit root tests are applied to the transformed s