A score statistic for testing the presence of a stochastic trend in conditional variances
Yongmiao Hong, Oliver Linton, Brendan McCabe, Jiajing Sun
| Year of publication: |
2022
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|---|---|
| Authors: | Hong, Yongmiao ; Linton, Oliver ; McCabe, Brendan Peter Martin ; Sun, Jiajing |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 213.2022, p. 1-6
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| Subject: | GARCH | Score statistic | Stochastic trend | Unit root | Zeitreihenanalyse | Time series analysis | Statistische Methodenlehre | Statistical theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2022.110394 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013442141