On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors (Q3102885): Difference between revisions

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+Size and power properties of powerful unit root tests in the presence of variance breaks
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+The robustness of modified unit root tests in the presence of GARCH
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+Efficient Tests for an Autoregressive Unit Root
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+Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
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+Unit root tests with a break in innovation variance.
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+Cointegration tests with conditional heteroskedasticity.
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+Examination of Some More Powerful Modifications of the Dickey–Fuller Test
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+recursive Mean Adjustment for Unit Root Tests
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+Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
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