A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors

DOI10.1007/S11766-008-0209-XzbMath1167.62460OpenAlexW2114053304MaRDI QIDQ1003937

Zhang, Lixin, Xiao Rong Yang

Publication date: 6 March 2009

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-008-0209-x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for linear processes
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• A note on unit root tests with heavy-tailed GARCH errors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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