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Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors

✍ Scribed by Chris Brooks; Alistair G. Rew

Book ID
110402134
Publisher
Springer US
Year
2002
Tongue
English
Weight
131 KB
Volume
20
Category
Article
ISSN
1572-9974

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Unit root testing in the presence of ARF
Unit root testing in the presence of ARFIMA–GARCH errors
✍ 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