A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

DOI10.1111/jtsa.12025zbMath1277.62199OpenAlexW1918744927MaRDI QIDQ2864626

Joakim Westerlund

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12025

zbMATH Keywords

ARCHGARCHcovariatesunit root testheteroskedasticityGLS detrending

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ The impact of the initial condition on covariate augmented unit root tests

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