Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors

DOI10.1080/00949655.2016.1146720OpenAlexW2463214582MaRDI QIDQ5221513

No author found.

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1146720

zbMATH Keywords

time seriesrandom walkresidual bootstrapconditional volatilitynon-stationarity tests

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Bootstrapping explosive autoregressive processes
• Bootstrapping general first order autoregression
• Distribution theory for unit root tests with conditional heteroskedasticity
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• On the Size Properties of Phillips-Perron Tests
• Unit root bootstrap tests for AR (1) models
• ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Bootstrap Unit Root Tests

This page was built for publication: Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors