Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data
From MaRDI portal
Publication:3017851
DOI10.1080/03610926.2010.481371zbMath1217.62134OpenAlexW1972818719MaRDI QIDQ3017851
Publication date: 20 July 2011
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.481371
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Monte Carlo methods (65C05)
Cites Work
- Unnamed Item
- Unnamed Item
- Distribution theory for unit root tests with conditional heteroskedasticity
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- A note on unit root tests with heavy-tailed GARCH errors
- The robustness of modified unit root tests in the presence of GARCH
- A theory for multiresolution signal decomposition: the wavelet representation
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
- Ten Lectures on Wavelets
- A wavelet analysis for time series
- Which Exact Test is More Powerful in Testing the Hardy–Weinberg Law?