Testing for a unit root with nonstationary nonlinear heteroskedasticity
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Publication:5861007
DOI10.1080/07474938.2020.1721833zbMath1490.62280OpenAlexW3006472441MaRDI QIDQ5861007
Nigel H. N. Chan, Yundong Tu, Qiying Wang
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1721833
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)
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