A note on unit root tests with heavy-tailed GARCH errors
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Recommendations
- Unit root testing in the presence of heavy-tailed GARCH errors
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- A Note on Unit Root Tests with Infinite Variance Noise
Cites work
- scientific article; zbMATH DE number 4043108 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1111383 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Asymptotics for linear processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Donsker's theorem for self-normalized partial sums processes
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Generalized autoregressive conditional heteroscedasticity
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limit distributions of self-normalized sums
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
- Stationarity of GARCH processes and of some nonnegative time series
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Time Series Regression with a Unit Root
- Weak Convergence of a Certain Functional
- When is the Student \(t\)-statistic asymptotically standard normal?
Cited in
(17)- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
- Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework
- Unit root testing in the presence of heavy-tailed GARCH errors
- Subsampling unit root tests for heavy-tailed observations
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion
- Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
- Moment condition tests for heavy tailed time series
- Spurious regressions in time series with long memory
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
- A unit root test for an AR(1) process with AR errors by using random weighted bootstrap
- Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
- Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
- On the oversized problem of Dickey-Fuller-type tests with GARCH errors
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
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