Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
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Publication:5221513
Cites work
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrap Unit Root Tests
- Bootstrap unit root tests in models with GARCH(1,1) errors
- Bootstrapping explosive autoregressive processes
- Bootstrapping general first order autoregression
- Bootstrapping unstable first-order autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Distribution theory for unit root tests with conditional heteroskedasticity
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- On the Size Properties of Phillips-Perron Tests
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Unit root bootstrap tests for AR (1) models
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