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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
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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
unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is …–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent … the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure …
Persistent link: https://www.econbiz.de/10010873045
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Asymptotic null distributions of stationarity and nonstationarity
Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...
Persistent link: https://www.econbiz.de/10011264970
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Size and power properties of powerful unit root tests in the presence of variance breaks
Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 317 (2003) 3, pp. 432-448
The standard Dickey–Fuller (DF) test is routinely employed to analyse the integrated nature of economic and financial time series. However, recent research has shown the test to suffer severe size distortion in the presence of breaks in innovation variance under the unit root null hypothesis....
Persistent link: https://www.econbiz.de/10010872205
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Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors
Cappuccio, Nunzio; Lubian, Diego - In: Annals of the Institute of Statistical Mathematics 59 (2007) 3, pp. 403-423
Persistent link: https://www.econbiz.de/10005616446
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Asymptotic null distributions of stationarity and nonstationarity
Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...
Persistent link: https://www.econbiz.de/10005641886
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Panel versus GARCH information in unit root testing with an application to financial markets
Westerlund, Joakim; Narayan, Paresh Kumar - In: Economic modelling 41 (2014), pp. 173-176
Persistent link: https://www.econbiz.de/10010438367
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Panel versus GARCH information in unit root testing with an application to financial markets
Westerlund, Joakim; Narayan, Paresh - In: Economic Modelling 41 (2014) C, pp. 173-176
contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made … them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but …
Persistent link: https://www.econbiz.de/10010933312
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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes
Kannan, R. Kumara; Jesiah, Selvam - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 537-550
Persistent link: https://www.econbiz.de/10013472761
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Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
Westerlund, Joakim; Narayan, Paresh - Nationalekonomiska institutionen, Handelshögskolan - 2009
In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their …
Persistent link: https://www.econbiz.de/10004998805