✦ LIBER ✦

Unit root testing in the presence of ARFIMA–GARCH errors

✍ Scribed by Gaowen Wang

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 176 KB
Volume: 27
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.850

No coin nor oath required. For personal study only.

✦ Synopsis

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 ARFIMA–GARCH errors are discussed. It is shown that even when the errors exhibit both long‐range dependence and heavy‐tailed conditional heteroscedasticity, the asymptotic distributions of the Dickey–Fuller ρ‐type tests are functionals of standard Brownian motion rather than those of fractional Brownian motions. Some Monte Carlo simulations are provided to illustrate the finite sample properties of two of the tests. Copyright © 2010 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Testing for a unit root in the volatilit

Testing for a unit root in the volatility of asset returns

✍ Jonathan H. Wright 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 168 KB

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un

Unit roots in the presence of abrupt gov

Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data

✍ Regina Celia Cati; Marcio G. P. Garcia; Pierre Perron 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 233 KB

This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the Brazilian monthly in¯ation rate (1974 : 1±1993 : 6) which we use throughout for illustration. This series has been heavily in¯