On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors
From MaRDI portal
Publication:3102885
DOI10.1080/03610918.2011.575502zbMath1227.62074OpenAlexW1998565235MaRDI QIDQ3102885
Publication date: 25 November 2011
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2011.575502
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
Cites Work
- Cointegration tests with conditional heteroskedasticity.
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
- Size and power properties of powerful unit root tests in the presence of variance breaks
- Unit root tests with a break in innovation variance.
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
- recursive Mean Adjustment for Unit Root Tests
- The robustness of modified unit root tests in the presence of GARCH
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Efficient Tests for an Autoregressive Unit Root
- Examination of Some More Powerful Modifications of the Dickey–Fuller Test
This page was built for publication: On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors