Simulation analysis of threshold autoregressive unit root tests
From MaRDI portal
Publication:1952675
DOI10.5402/2012/649134WikidataQ58691966 ScholiaQ58691966MaRDI QIDQ1952675
Publication date: 3 June 2013
Published in: ISRN Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5402/2012/649134
62-XX: Statistics
92-XX: Biology and other natural sciences
91-XX: Game theory, economics, finance, and other social and behavioral sciences
Cites Work
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Threshold models in non-linear time series analysis
- Distribution theory for unit root tests with conditional heteroskedasticity
- Time series with unit roots and infinite-variance disturbances
- Generalized autoregressive conditional heteroscedasticity
- On estimation and testing goodness of fit for \(m\)-dependent stable sequences
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Temporal Aggregation of Garch Processes
- The robustness of modified unit root tests in the presence of GARCH
- The impact of fat-tailed distributions on some leading unit roots tests
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Automatic Lag Selection in Covariance Matrix Estimation
- Heavy-Tail Phenomena
- "Infinite Variance" and Research Strategy in Time Series Analysis
