Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
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Publication:1848019
DOI10.1155/S1110757X02107029zbMath1107.62358MaRDI QIDQ1848019
Publication date: 29 October 2002
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/53040
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
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Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative, The robustness of modified unit root tests in the presence of GARCH