On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
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Publication:870320
DOI10.1016/j.spl.2006.05.012zbMath1110.62117MaRDI QIDQ870320
Publication date: 12 March 2007
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.05.012
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
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Cites Work
- Testing for a unit root in the presence of a variance shift
- Unit root tests with a break in innovation variance.
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS