## Abstract We consider asymptotic behavior of selfβnormalized 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
The impact of GARCH on asymmetric unit root tests
β Scribed by Steven Cook
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 141 KB
- Volume
- 369
- Category
- Article
- ISSN
- 0378-4371
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