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)

Cites Work

• Regression rank scores and regression quantiles
• Regression Quantiles
• Title not available (Why is that?)
• Unit Root Quantile Autoregression Inference
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Random difference equations and renewal theory for products of random matrices
• Convex Analysis
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• 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?
• Implicit renewal theory and tails of solutions of random equations
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• Robust Rank Tests of the Unit Root Hypothesis
• 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
• Asymptotic inference for unit root processes with GARCH(1,1) errors
• ON CONSISTENT ESTIMATES OF THE SPECTRAL DENSITY OF A STATIONARY TIME SERIES
• L-Estimation for Linear Models
• A non-Skorokhod topology on the Skorokhod space
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Extreme Values in Finance, Telecommunications, and the Environment
• Title not available (Why is that?)
• Tests of linear hypotheses based on regression rank scores
• A Note on Unit Root Tests with Infinite Variance Noise
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises

Cited In (2)

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

This page was built for publication: Rank test of unit‐root hypothesis with AR‐GARCH errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6134626)