Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
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Publication:1342771
DOI10.1007/BF02926421zbMath0825.62693MaRDI QIDQ1342771
Publication date: 28 November 1995
Published in: Statistical Papers (Search for Journal in Brave)
Related Items (9)
Multiple unit root tests under uncertainty over the initial condition: some powerful modifications ⋮ The performance of unit root tests under level-dependent heteroskedasticity ⋮ M-estimator based unit root tests in the ESTAR framework ⋮ On the Dickey-Fuller test with white standard errors ⋮ Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors ⋮ Lack of fit test for long memory regression models
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