Distribution theory for unit root tests with conditional heteroskedasticity
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Publication:1298480
DOI10.1016/S0304-4076(98)00051-7zbMath0930.62016OpenAlexW2050394714MaRDI QIDQ1298480
Publication date: 13 February 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00051-7
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cites Work
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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