Bootstrap unit root tests in models with GARCH(1,1) errors

DOI10.1080/07474938.2011.553538MaRDI QIDQ3007554zbMATH OpenOpenAlexFDO

Authors Nikolay Gospodinov, Ye Tao

Publication date 16 June 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2011.553538

zbMATH Keywords

tables

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Bootstrap prediction for returns and volatilities in GARCH models
• Bootstrap tests: how many bootstraps?
• Bootstrap Unit Root Tests
• BootstrapMUnit Root Tests
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping explosive autoregressive processes
• Bootstrapping general first order autoregression
• Bootstrapping unstable first-order autoregressive processes
• 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
• Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
• Generalized autoregressive conditional heteroscedasticity
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Residual-Based Block Bootstrap for Unit Root Testing
• Some asymptotic theory for the bootstrap
• SOME RESAMPLING PROCEDURES UNDER SYMMETRY
• The power of bootstrap and asymptotic tests
• Unit root bootstrap tests for AR (1) models

Cited in

(11)

• A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
• Unit root testing in the presence of heavy-tailed GARCH errors
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• On the oversized problem of Dickey-Fuller-type tests with GARCH errors
• The robustness of modified unit root tests in the presence of GARCH
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• Residual-based GARCH bootstrap and second order asymptotic refinement
• A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment

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