Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors

DOI10.1080/07474938.2011.553538zbMath1217.62132OpenAlexW1975137172MaRDI QIDQ3007554

Ye Tao, Nikolay Gospodinov

Publication date: 16 June 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.553538

zbMATH Keywords

tables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors

Cites Work

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