Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2008.08.004
@@ Property / DOI: 10.1016/j.jeconom.2008.08.004 / rank @@
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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
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+F03
@@ Property / Mathematics Subject Classification ID: 62F03 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G09
@@ Property / Mathematics Subject Classification ID: 62G09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6592950
@@ Property / zbMATH DE Number: 6592950 / rank @@
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@@ Property / zbMATH Keywords @@
+threshold autoregressive model
@@ Property / zbMATH Keywords: threshold autoregressive model / rank @@
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@@ Property / zbMATH Keywords @@
+unit root process
@@ Property / zbMATH Keywords: unit root process / rank @@
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@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
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@@ Property / zbMATH Keywords @@
+two-parameter Brownian motion
@@ Property / zbMATH Keywords: two-parameter Brownian motion / rank @@
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@@ Property / zbMATH Keywords @@
+bootstrap
@@ Property / zbMATH Keywords: bootstrap / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2008.08.004
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+W1996818285
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@@ Property / cites work @@
+Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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@@ Property / cites work @@
+Some asymptotic theory for the bootstrap
@@ Property / cites work: Some asymptotic theory for the bootstrap / rank @@
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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@@ Property / cites work @@
+Threshold Autoregression with a Unit Root
@@ Property / cites work: Threshold Autoregression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Testing for threshold autoregression
@@ Property / cites work: Testing for threshold autoregression / rank @@
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@@ Property / cites work @@
+Q4272484
@@ Property / cites work: Q4272484 / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
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+Q3911791
@@ Property / cites work: Q3911791 / rank @@
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@@ Property / cites work @@
+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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+Inference in TAR Models
@@ Property / cites work: Inference in TAR Models / rank @@
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@@ Property / cites work @@
+SOME RESAMPLING PROCEDURES UNDER SYMMETRY
@@ Property / cites work: SOME RESAMPLING PROCEDURES UNDER SYMMETRY / rank @@
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@@ Property / cites work @@
+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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@@ Property / cites work @@
+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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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Bootstrapping forecast intervals in ARCH models
@@ Property / cites work: Bootstrapping forecast intervals in ARCH models / rank @@
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+Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
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+Distribution theory for unit root tests with conditional heteroskedasticity
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+Q3395931
@@ Property / cites work: Q3395931 / rank @@
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+Q3999154
@@ Property / cites work: Q3999154 / rank @@
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@@ Property / cites work @@
+Testing for threshold autoregression with conditional heteroscedasticity
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@@ Property / cites work @@
+Q4947010
@@ Property / cites work: Q4947010 / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2008.08.004
@@ Property / DOI: 10.1016/J.JECONOM.2008.08.004 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:295710