Estimation and testing for unit root processes with GARCH(1,1) errors: Theory and Monte Carlo evidence
Year of publication: |
2001
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Authors: | Ling, Shiqing ; Li, W. K. ; MacAleer, Michael |
Publisher: |
Osaka : Osaka University, Institute of Social and Economic Research (ISER) |
Subject: | Unit Root Test | Theorie | Asymptotic distribution | Brownian motion | GARCH model | Least squares estimator | Maximum likelihood estimator | Unit root |
Series: | ISER Discussion Paper ; 544 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 342586580 [GVK] hdl:10419/92761 [Handle] |
Source: |
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Ling, Shiqing, (2003)
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