The robustness of modified unit root tests in the presence of GARCH

DOI10.1080/14697680600702045zbMath1134.91545OpenAlexW2152172268MaRDI QIDQ3437390

Steven Cook

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22084

zbMATH Keywords

GARCHunit root testssize distortion

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

Simulation analysis of threshold autoregressive unit root tests ⋮ Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data ⋮ Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors

Cites Work

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• The Bias of Autoregressive Coefficient Estimators
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES