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Unit roots in the presence of moving average errors: tests of consumer price inflation

✍ Scribed by Freeman, Donald G.

Book ID
126673437
Publisher
Taylor and Francis Group
Year
1998
Tongue
English
Weight
317 KB
Volume
5
Category
Article
ISSN
1350-4851

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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