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On unit root tests in the presence of transitional growth

✍ Scribed by Bernd Lucke; Helmut Lütkepohl

Book ID: 116420852
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 109 KB
Volume: 84
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2004.02.012

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## 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