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Critical values of the augmented fractional Dickey-Fuller test

Sephton, Peter S. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 437-450

Persistent link: https://www.econbiz.de/10003776707

Critical values for the augmented efficient Wald test for fractional unit roots

Sephton, Peter S. - In: Empirical economics : a journal of the Institute for … 37 (2009) 3, pp. 615-626

Persistent link: https://www.econbiz.de/10003900971

Linear and non-linear unit root testing in the presence of heavy-tailed GARCH : a finite-sample simulation analysis

Cook, Steve - In: International journal of computational economics and … 2 (2012) 3/4, pp. 179-196

Persistent link: https://www.econbiz.de/10009756392

Convergence of Monte Carlo simulations involving the mean-reverting square root process

Higham, Desmond J.; Mao, Xuerong - In: The journal of computational finance 8 (2004/2005) 3, pp. 35-61

Persistent link: https://www.econbiz.de/10002996511

The overall seasonal integration tests under non-stationary alternatives : a methodological note

El Montasser, Ghassen - 2011

, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to … developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …

Persistent link: https://www.econbiz.de/10011524855