On the oversized problem of Dickey-Fuller-type tests with GARCH errors (Q3102885)
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scientific article; zbMATH DE number 5980511
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| English | On the oversized problem of Dickey-Fuller-type tests with GARCH errors |
scientific article; zbMATH DE number 5980511 |
Statements
On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors (English)
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25 November 2011
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initial effect
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Monte Carlo experiment
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size distortion
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unit root tests
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0.7996559739112854
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0.7932599186897278
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0.7700260877609253
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0.7631095051765442
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0.7609316110610962
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