Add to ORKGIn this paper, we derive the asymptotic distributions of Dickey-Fuller tests for unit root processes with GARCH(1,1) errors when the fourth moment condition is not satisfied. Particularly, the fourth moment condition on the scaled conditional errors is weakened.Heavy-tailed GARCH Self-normalized sums Domain of attraction of the normal law
In this paper, we established the consistency and asymptotic distribution of estimation of parameter...
We propose new unit root tests based on instrumental variables estimation utilizing weighted moment ...
The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root test statis-tics for autoreg...
This paper investigates the so-called one-step local quasi-maximum likelihood estimator for the unit...
The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the propert...
Least squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes wi...
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes wit...
We evaluate the impact of heavy-tailed innovations on some popular unit root tests. In the context o...
According to previous research, standard unit root tests are considered robust to stationary GARCH d...
This research was supported by the 2018 Kyoto University Institute of Economic Research Joint Usage ...
This paper considers tests for a unit root when the innovations follow a near-integrated GARCH proce...
We show that the finite-dimensional distributions of a GARCH process are regularly varying, i.e., th...
Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a nat...
This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit roo...
AbstractWe show that the finite-dimensional distributions of a GARCH process are regularly varying, ...
In this paper, we established the consistency and asymptotic distribution of estimation of parameter...
We propose new unit root tests based on instrumental variables estimation utilizing weighted moment ...
The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root test statis-tics for autoreg...
This paper investigates the so-called one-step local quasi-maximum likelihood estimator for the unit...
The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the propert...
Least squares (LS) and maximum likelihood (ML) estimation are con-sidered for unit root processes wi...
Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes wit...
We evaluate the impact of heavy-tailed innovations on some popular unit root tests. In the context o...
According to previous research, standard unit root tests are considered robust to stationary GARCH d...
This research was supported by the 2018 Kyoto University Institute of Economic Research Joint Usage ...
This paper considers tests for a unit root when the innovations follow a near-integrated GARCH proce...
We show that the finite-dimensional distributions of a GARCH process are regularly varying, i.e., th...
Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a nat...
This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit roo...
AbstractWe show that the finite-dimensional distributions of a GARCH process are regularly varying, ...
In this paper, we established the consistency and asymptotic distribution of estimation of parameter...
We propose new unit root tests based on instrumental variables estimation utilizing weighted moment ...
The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root test statis-tics for autoreg...