Search Results - subject:"Consistent-threshold estimation"

Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values

Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323

Persistent link: https://www.econbiz.de/10011430513

The impact of GARCH on asymmetric unit root tests

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 745-752

–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent-threshold … estimation increases the oversizing of the resulting asymmetric unit root test whether based upon the TAR or the MTAR model. The …

Persistent link: https://www.econbiz.de/10010873045