A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
From MaRDI portal
Publication:5451141
Recommendations
- Unit root testing in the presence of heavy-tailed GARCH errors
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Bootstrap unit root tests in models with GARCH(1,1) errors
- A note on unit root tests with heavy-tailed GARCH errors
- Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
Cites work
- A note on unit root tests with heavy-tailed GARCH errors
- Common Persistence in Conditional Variances
- 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
- Generalized autoregressive conditional heteroscedasticity
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Modelling the persistence of conditional variances
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The performance of unit root tests under level-dependent heteroskedasticity
Cited in
(2)
This page was built for publication: A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5451141)