HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

DOI10.1017/S026646660809049XzbMath1284.62546MaRDI QIDQ5411516

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 23 April 2014

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Functional limit theorems; invariance principles (60F17)

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