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Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors

✍ Scribed by Gospodinov, Nikolay; Tao, Ye


Book ID
125810899
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
374 KB
Volume
30
Category
Article
ISSN
0747-4938

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Unit root testing in the presence of ARF
✍ Gaowen Wang πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 176 KB πŸ‘ 2 views

## Abstract We consider asymptotic behavior of self‐normalized sums of autoregressive fractionally integrated moving average (ARFIMA) processes whose innovations are GARCH errors. The asymptotic distribution of the sums is derived under very mild conditions. Applications to unit root tests with ARF