Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power

DOI10.1080/03610910701779726zbMath1160.62081OpenAlexW2008782706MaRDI QIDQ3625300

Steven Cook

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1080/03610910701779726

zbMATH Keywords

maximum likelihood estimationMonte Carlo simulationunit rootsGDP

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (1)

Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data

Cites Work

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