Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

DOI10.1016/j.jeconom.2008.08.004zbMath1418.62324OpenAlexW1996818285MaRDI QIDQ295710

Nikolay Gospodinov

Publication date: 13 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.004

zbMATH Keywords

bootstrapGARCHthreshold autoregressive modeltwo-parameter Brownian motionunit root process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Nonparametric statistical resampling methods (62G09)

Related Items

Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors

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