Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data

DOI10.1016/J.ECONLET.2004.09.008zbMath1254.91687OpenAlexW2054267995MaRDI QIDQ1927774

Rossen Valkanov

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.09.008

zbMATH Keywords

conditional heteroskedasticityunit-root testDF testFCLT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Unit root testing ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors

Cites Work

• Unnamed Item
• GARCH (1,1) processes are near epoch dependent
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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