Distribution theory for unit root tests with conditional heteroskedasticity

DOI10.1016/S0304-4076(98)00051-7zbMath0930.62016OpenAlexW2050394714MaRDI QIDQ1298480

Byeongseon Seo

Publication date: 13 February 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00051-7

zbMATH Keywords

powermaximum likelihoodGARCHunit root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (44)

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity ⋮ The finite-sample performance of robust unit root tests ⋮ A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root ⋮ Unit root quantile autoregression testing using covariates ⋮ Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS ⋮ A unified unit root test regardless of intercept ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ Simulation analysis of threshold autoregressive unit root tests ⋮ On the Dickey-Fuller test with white standard errors ⋮ Functional‐coefficient models under unit root behaviour ⋮ Testing for a unit root under errors with just barely infinite variance ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity ⋮ Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data ⋮ LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS ⋮ Asymptotic confidence intervals for impulse responses of near‐integrated processes ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ A robust sign test for panel unit roots under cross sectional dependence ⋮ Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ An invariant sign test for random walks based on recursive median adjustment ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ Testing for reduction to random walk in autoregressive conditional heteroskedasticity models ⋮ Unbiased estimates for moments and cumulants in linear regression ⋮ A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment ⋮ A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options ⋮ Bootstrapping non-stationary stochastic volatility ⋮ Adaptive Testing for Cointegration With Nonstationary Volatility ⋮ PARTIALLY LINEAR MODELS WITH UNIT ROOTS ⋮ UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power ⋮ A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series ⋮ Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors ⋮ EMPIRICAL LIKELIHOOD FOR GARCH MODELS ⋮ Mean-variance cointegration and the expectations hypothesis ⋮ A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending ⋮ The robustness of modified unit root tests in the presence of GARCH ⋮ Inference in Autoregression under Heteroskedasticity

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Statistical inference on cointegration rank in error correction models with stationary covariates
• Generalized autoregressive conditional heteroscedasticity
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
• Multiple Time Series Regression with Integrated Processes
• Testing for a unit root in time series regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Regression with Nonstationary Volatility
• Maximum Likelihood Estimation of Misspecified Models

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