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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

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

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

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

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

Low-frequency robust cointegration testing

Müller, Ulrich K.; Watson, Mark W. - In: Journal of Econometrics 174 (2013) 2, pp. 66-81

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data’s persistence. This paper considers low-frequency tests about cointegrating vectors under a range of...

Persistent link: https://www.econbiz.de/10011052235

A robust test for multivariate normality

Jönsson, Kristian - In: Economics Letters 113 (2011) 2, pp. 199-201

The size of the Jarque–Bera test for multivariate normality can be severely distorted in small samples. An alternative test procedure, that turns out to have good size and power properties, is suggested.

Persistent link: https://www.econbiz.de/10011041644

Size improvement of the KPSS test using sieve bootstraps

Lee, Jin; Lee, Young Im - In: Economics Letters 116 (2012) 3, pp. 483-486

It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski et al. (1992), become severe with persistent data. We propose the sieve bootstrap introduced by Bühlmann (1998) as an appropriate bootstrap for dependent processes, to obtain notable...

Persistent link: https://www.econbiz.de/10011041723

The fragility of the KPSS stationarity test

Cappuccio, Nunzio; Lubian, Diego - In: Statistical Methods and Applications 19 (2010) 2, pp. 237-253

Persistent link: https://www.econbiz.de/10008486567

The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications

Maki, Daiki - In: Computational Economics 31 (2008) 1, pp. 77-94

Persistent link: https://www.econbiz.de/10005701626