Linear and non-linear unit root testing in the presence of heavy-tailed GARCH: a finite-sample simulation analysis
Year of publication: |
2012
|
---|---|
Authors: | Cook, Steve |
Published in: |
International Journal of Computational Economics and Econometrics. - Inderscience Enterprises Ltd, ISSN 1757-1170. - Vol. 2.2012, 3/4, p. 179-196
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | numerical simulation | finance | economics | time series | stochastic processes | unit root testing | heavy-tailed GARCH | heteroskedasticity | covariance matrix estimators | finite-sample size distortion |
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