Rank test of unit‐root hypothesis with AR‐GARCH errors

DOI10.1111/JTSA.12635OpenAlexW3215410229MaRDI QIDQ6134626FDOQ6134626

Authors

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12635

zbMATH Keywords

GARCHheavy tailunit-root\(\alpha\)-stable process and rank score

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17) Inference from stochastic processes (62Mxx)

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Cited in

(2)

• Rank tests for unit roots
• Residual-based rank specification tests for AR-GARCH type models

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