A score statistic for testing the presence of a stochastic trend in conditional variances

DOI10.1016/j.econlet.2022.110394zbMath1490.62215OpenAlexW4213061072MaRDI QIDQ2127331

B. P. M. McCabe, Yongmiao Hong, Jiajing Sun, Oliver B. Linton

Publication date: 20 April 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110394

zbMATH Keywords

unit rootGARCHstochastic trendscore statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
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