On the choice of test for a unit root when the errors are conditionally heteroskedastic

DOI10.1016/J.CSDA.2013.07.022zbMath1471.62214OpenAlexW2074537980MaRDI QIDQ1615170

Joakim Westerlund

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.07.022

zbMATH Keywords

ARCHconditional heteroskedasticityunit root test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Spectral approach to parameter-free unit root testing

Cites Work

• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
• Distribution theory for unit root tests with conditional heteroskedasticity
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• On functional limit theorems for multivariate linear processes with applications to sequential estimation
• ARCH models as diffusion approximations
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• Unit Root Tests under Time-Varying Variances
• Hybrid and Size-Corrected Subsampling Methods
• Towards a unified asymptotic theory for autoregression
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• 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
• Regression with Nonstationary Volatility
• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Unnamed Item

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