Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors
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Publication:1872058
DOI10.1023/A:1020945428824zbMath1037.62084MaRDI QIDQ1872058
Publication date: 4 May 2003
Published in: Computational Economics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
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