Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

DOI10.1081/ETC-120020462zbMath1106.62346OpenAlexW1999578971MaRDI QIDQ4805312

Michael McAleer, Shiqing Ling, Wai Keung Li

Publication date: 12 May 2003

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

Full work available at URL: https://doi.org/10.1081/etc-120020462

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (35)

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Nearly nonstationary processes under infinite variance GARCH noises ⋮ ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ Testing for unit roots in time series models with non-stationary volatility ⋮ On the Dickey-Fuller test with white standard errors ⋮ Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent ⋮ Testing for a unit root under errors with just barely infinite variance ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ The functional central limit theorem for a family of GARCH observations with applications ⋮ LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Optimal estimation under nonstandard conditions ⋮ Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ A note on unit root tests with heavy-tailed GARCH errors ⋮ A new estimator method for GARCH models ⋮ A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment ⋮ A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors ⋮ UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ EMPIRICAL LIKELIHOOD FOR GARCH MODELS ⋮ Mean-variance cointegration and the expectations hypothesis ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ Inference in Autoregression under Heteroskedasticity ⋮ Joint modeling of cointegration and conditional heteroscedasticity with applications

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