Title:

A Note on Testing for Nonstationarity in Autoregressive Processes with Level Dependent Conditional Heteroskedasticity

Authors:

Paulo M. M. Rodrigues (U Algarve)
Antonio Rubia (U Alicante)

Journal:

Statistical Papers

Year:

2008

Volume:

49

Pages:

581-593

JEL code:

C22 - Time-Series Models