The robustness of modified unit root tests in the presence of GARCH

DOI10.1080/14697680600702045zbMath1134.91545MaRDI QIDQ3437390

Steven Cook

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22084

zbMATH Keywords

GARCH; unit root tests; size distortion

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues, Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data, On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors, Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power

Cites Work

• Testing for a unit root in the presence of a variance shift
• Distribution theory for unit root tests with conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• Unit root tests with a break in innovation variance.
• recursive Mean Adjustment for Unit Root Tests
• Temporal Aggregation of Garch Processes
• The Bias of Autoregressive Coefficient Estimators
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES