A class of stochastic unit-root bilinear processes: mixing properties and unit-root test

DOI10.1016/J.JECONOM.2007.04.003zbMATH Open1418.62321OpenAlexW2140949091MaRDI QIDQ290958FDOQ290958

Authors: C. Francq, Jean-Michel Zakoïan, Svetlana Makarova 

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.04.003

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zbMATH Keywords

GARCHmixingaugmented Dickey-Fuller testbilinear processesPhillips-Perron teststochastic unit-roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (7)

• On an independent and identically distributed mixture bilinear time-series model
• Recursive online EM estimation of mixture autoregressions
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
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• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Inconsistency of the MLE and inference based on weighted LS for LARCH models

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