Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
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Publication:5221513
DOI10.1080/00949655.2016.1146720OpenAlexW2463214582MaRDI QIDQ5221513FDOQ5221513
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Publication date: 1 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2016.1146720
Cites Work
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- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Bootstrapping general first order autoregression
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Unit root bootstrap tests for AR (1) models
- Bootstrapping explosive autoregressive processes
- On the Size Properties of Phillips-Perron Tests
- Bootstrap unit root tests in models with GARCH(1,1) errors
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