Distribution theory for unit root tests with conditional heteroskedasticity
type: Item
instance of: scholarly article
title: Distribution theory for unit root tests with conditional heteroskedasticity
zbMATH Open document ID: 0930.62016
DOI: 10.1016/S0304-4076(98)00051-7
author: Byeongseon Seo
published in: Journal of Econometrics
publication date: 2000-02-13T00:00:00Z
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1326302
zbMATH Keywords: power
zbMATH Keywords: unit root tests
zbMATH Keywords: maximum likelihood
zbMATH Keywords: GARCH
MaRDI profile type: Publication
cites work: Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Regression with Nonstationary Volatility
cites work: Multiple Time Series Regression with Integrated Processes
cites work: Testing for a unit root in time series regression
cites work: Statistical inference on cointegration rank in error correction models with stationary covariates
cites work: Maximum Likelihood Estimation of Misspecified Models
full work available at URL: s0304-4076(98)00051-7
OpenAlex ID: W2050394714
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description: scientific article; zbMATH DE number 1326302