On the choice of test for a unit root when the errors are conditionally heteroskedastic (Q1615170): Difference between revisions

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+https://doi.org/10.1016/j.csda.2013.07.022
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+W2074537980
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@@ Property / cites work @@
+Hybrid and Size-Corrected Subsampling Methods
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+Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
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+Unit Root Tests under Time-Varying Variances
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+HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
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+On functional limit theorems for multivariate linear processes with applications to sequential estimation
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Regression with Nonstationary Volatility
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+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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+ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
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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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+ARCH models as diffusion approximations
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+Q3780320
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+Towards a unified asymptotic theory for autoregression
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+Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
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+Distribution theory for unit root tests with conditional heteroskedasticity
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+A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
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+Publication:1615170