Testing for a unit root under errors with just barely infinite variance
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Publication:3552865
DOI10.1111/j.1467-9892.2008.00596.xzbMath1199.62010OpenAlexW1961387816MaRDI QIDQ3552865
Nikitas Pittis, Nikolaos C. Kourogenis
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00596.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)
Related Items (5)
On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Limit theory for a general class of GARCH models with just barely infinite variance ⋮ Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator ⋮ Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences ⋮ Mean-variance cointegration and the expectations hypothesis
Cites Work
- On Ibragimov-Iosifescu conjecture for \(\phi\)-mixing sequences
- Distribution theory for unit root tests with conditional heteroskedasticity
- An invariance principle for stationary \(\rho\)-mixing sequences with infinite variance
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Nonparametric tests for unit roots and cointegration.
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- A functional central limit theorem for strongly mixing sequences of random variables
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Automatic Lag Selection in Covariance Matrix Estimation
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Time Series Regression with a Unit Root
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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