Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

DOI10.1111/1368-423X.t01-1-00090zbMath1018.62071OpenAlexW3124375099MaRDI QIDQ4416017

Derick Wee, Mark van de Vyver, Claudia Klüppelberg, Ross A. Maller

Publication date: 7 August 2003

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

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00090

zbMATH Keywords

conditional heteroskedasticityunit rootautoregressionDickey-Fuller testpseudo-likelihood ratio testAR-ARCHAR-GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Estimation and Testing Stationarity for Double-Autoregressive Models ⋮ Asymptotics for unit root tests under Markov regime‐switching ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS

Uses Software

• Mathematica

Cites Work

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