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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

Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...

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

The robustness of modified unit root tests in the presence of GARCH

Cook, Steven - In: Quantitative Finance 6 (2006) 4, pp. 359-363

The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalized autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are...

Persistent link: https://www.econbiz.de/10005462655

Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues

Cook, Steven - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 109-116

In recent research [B. Seo, Distribution theory for unit root tests with conditional heteroskedasticity, J. Econometrics 91 (1999) 113–144] has suggested that the examination of the unit root hypothesis in series exhibiting GARCH behaviour should proceed via joint maximum likelihood (ML)...

Persistent link: https://www.econbiz.de/10010748448