A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment

DOI10.1080/03610910701790434zbMath1132.62065OpenAlexW2011308981MaRDI QIDQ5451141

Amélie Charles, Olivier Darné

Publication date: 18 March 2008

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

Full work available at URL: https://doi.org/10.1080/03610910701790434

zbMATH Keywords

unit root testGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) General considerations in statistical decision theory (62C05)

Related Items (1)

Mean-variance cointegration and the expectations hypothesis

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Distribution theory for unit root tests with conditional heteroskedasticity
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Generalized autoregressive conditional heteroscedasticity
• The performance of unit root tests under level-dependent heteroskedasticity
• A note on unit root tests with heavy-tailed GARCH errors
• Modelling the persistence of conditional variances
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Common Persistence in Conditional Variances

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