Unit root testing in the presence of heavy-tailed GARCH errors
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Recommendations
- A note on unit root tests with heavy-tailed GARCH errors
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
- Bootstrap unit root tests in models with GARCH(1,1) errors
- Nonstationary linear processes with infinite variance GARCH errors
Cites work
- A functional central limit theorem for weakly dependent sequences of random variables
- A maximal inequality and dependent strong laws
- A note on unit root tests with heavy-tailed GARCH errors
- Asymptotics for linear processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- 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
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 4043108 (Why is no real title available?)
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- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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- Limiting distributions of least squares estimates of unstable autoregressive processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Martingale Central Limit Theorems
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- On the Skorokhod representation approach to martingale invariance principles
- Stationarity of GARCH processes and of some nonnegative time series
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
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Cited in
(22)- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- Subsampling unit root tests for heavy-tailed observations
- Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- A note on unit root tests with heavy-tailed GARCH errors
- Bootstrap unit root tests in models with GARCH(1,1) errors
- Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
- On the oversized problem of Dickey-Fuller-type tests with GARCH errors
- The robustness of modified unit root tests in the presence of GARCH
- The impact of fat-tailed distributions on some leading unit roots tests
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
- On the Dickey-Fuller test with white standard errors
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Testing unit root based on partially adaptive estimation
- Nonstationary linear processes with infinite variance GARCH errors
- Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework
- An outlier-resistant test for heteroscedasticity in linear models
- Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion
- Unit root tests and heavy-tailed innovations
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
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