A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment

DOI10.1080/03610910701790434MaRDI QIDQ5451141zbMATH OpenOpenAlexFDO

Authors Amélie Charles, Olivier Darné

Publication date 18 March 2008

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910701790434

zbMATH Keywords

GARCH modelunit root test

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit root testing in the presence of heavy-tailed GARCH errors
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Bootstrap unit root tests in models with GARCH(1,1) errors
• A note on unit root tests with heavy-tailed GARCH errors
• Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

Cites work

• A note on unit root tests with heavy-tailed GARCH errors
• Common Persistence in Conditional Variances
• Distribution theory for unit root tests with conditional heteroskedasticity
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Generalized autoregressive conditional heteroscedasticity
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Modelling the persistence of conditional variances
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The performance of unit root tests under level-dependent heteroskedasticity

Cited in

(2)

• A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
• Mean-variance cointegration and the expectations hypothesis

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