HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
展示了如何将原本在平稳性假设下推导的分数单位根检验改造为对异方差稳健的方法，通过使用White异方差一致标准误，并在渐近和有限样本中验证了有效性。
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.