Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Steve Cook (Department of Accounting, Finance and Economics, Swansea University, Swansea, UK)
| Year of publication: |
April 2016
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|---|---|
| Authors: | Cook, Steven |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 23.2016, 4/6, p. 318-323
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| Subject: | GARCH | unit root tests | nonlinearity | asymmetry | consistent-threshold estimation | size distortion | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2015.1071467 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011430513