Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion

DOI10.1080/03610910903443964zbMath1183.62151OpenAlexW1916347879MaRDI QIDQ5305507

Ghazi Shukur, Yushu Li

Publication date: 22 March 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903443964

zbMATH Keywords

unit root test1)\)wavelet methodMODWTSTAR model\(GARCH(1Dickey-Fuller F test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Biochemistry, molecular biology (92C40) Inference from stochastic processes and fuzziness (62M86)

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