Pages that link to "Item:Q4805312"
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The following pages link to Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (Q4805312):
Displaying 39 items.
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710) (← links)
- Nonlinear IV panel unit root testing under structural breaks in the error variance (Q379930) (← links)
- Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes (Q397230) (← links)
- Testing for unit roots in time series models with non-stationary volatility (Q451288) (← links)
- On the Dickey-Fuller test with white standard errors (Q451360) (← links)
- Optimal estimation under nonstandard conditions (Q528003) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- The functional central limit theorem for a family of GARCH observations with applications (Q952866) (← links)
- A new estimator method for GARCH models (Q978796) (← links)
- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors (Q1003937) (← links)
- On the choice of test for a unit root when the errors are conditionally heteroskedastic (Q1615170) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues (Q2479446) (← links)
- A note on unit root tests with heavy-tailed GARCH errors (Q2493878) (← links)
- A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment (Q2495837) (← links)
- Unit root testing in the presence of heavy-tailed GARCH errors (Q2810358) (← links)
- Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (Q3007554) (← links)
- On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors (Q3102885) (← links)
- On the Transmission of Memory in Garch‐in‐Mean Models (Q3192402) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS (Q3409060) (← links)
- Inference in Autoregression under Heteroskedasticity (Q3440759) (← links)
- Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent (Q3548529) (← links)
- Testing for a unit root under errors with just barely infinite variance (Q3552865) (← links)
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power (Q3625300) (← links)
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (Q3632371) (← links)
- ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS (Q4561968) (← links)
- Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework (Q5063704) (← links)
- Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors (Q5221513) (← links)
- Mean-variance cointegration and the expectations hypothesis (Q5247279) (← links)
- Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion (Q5305507) (← links)
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS (Q5411515) (← links)
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (Q5411516) (← links)
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment (Q5451141) (← links)
- Testing for a unit root with nonstationary nonlinear heteroskedasticity (Q5861007) (← links)
- A unit root test for an AR(1) process with AR errors by using random weighted bootstrap (Q6054007) (← links)
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963) (← links)
- Rank test of unit‐root hypothesis with AR‐GARCH errors (Q6134626) (← links)
- Sieve bootstrap inference for linear time-varying coefficient models (Q6190946) (← links)
