## 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
β¦ LIBER β¦
UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS
β Scribed by Gaowen Wang; Wei-Lin Mao
- Book ID
- 110971653
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 181 KB
- Volume
- 50
- Category
- Article
- ISSN
- 1369-1473
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