Unit root testing in the presence of innovation variance breaks: a simple solution with increased power

DOI10.1155/S1110757X02107029zbMath1107.62358MaRDI QIDQ1848019

Steven Cook

Publication date: 29 October 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53040

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (3)

Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative ⋮ Unnamed Item ⋮ The robustness of modified unit root tests in the presence of GARCH

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