A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment

DOI10.1080/03610910701790434zbMATH Open1132.62065OpenAlexW2011308981MaRDI QIDQ5451141FDOQ5451141

Authors: Amélie Charles, Olivier Darné 

Publication date: 18 March 2008

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

Full work available at URL: https://doi.org/10.1080/03610910701790434

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

zbMATH Keywords

GARCH modelunit root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General considerations in statistical decision theory (62C05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• 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?
• Modelling the persistence of conditional variances
• Common Persistence in Conditional Variances
• Distribution theory for unit root tests with conditional heteroskedasticity
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• The performance of unit root tests under level-dependent heteroskedasticity
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• A note on unit root tests with heavy-tailed GARCH errors

Cited In (2)

• Mean-variance cointegration and the expectations hypothesis
• A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors

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