No abstract.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihood ratio statistic with that of the least-squares based Dickey-Fuller statistic. We first use asymptotics where the GARCH variance process...

In the framework of integrated processes, the problem of testing the presence of unknown boundaries which constrain the sample path to lie within a closed interval is considered. To discuss this inferential problem, the concept of nearly-bounded integrated process is introduced, thus allowing to...