On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors

DOI10.1080/03610918.2011.575502zbMath1227.62074MaRDI QIDQ3102885

Jen-je Su

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.575502

zbMATH Keywords

Monte Carlo experiment; unit root tests; size distortion; initial effect

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

Cites Work

• Cointegration tests with conditional heteroskedasticity.
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Unit root tests with a break in innovation variance.
• Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
• recursive Mean Adjustment for Unit Root Tests
• The robustness of modified unit root tests in the presence of GARCH
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Efficient Tests for an Autoregressive Unit Root
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test