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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

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

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

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

Restricted Likelihood Ratio Tests in Predictive Regression

Phillips, Peter C.B.; Chen, Ye - Cowles Foundation for Research in Economics, Yale University

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists in overcoming size distortion in predictive hypothesis...

Persistent link: https://www.econbiz.de/10011096426

On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests

Preinerstorfer, David; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2013

Testing restrictions on regression coefficients in linear models often requires correcting the conventional F-test for potential heteroscedasticity or autocorrelation amongst the disturbances, leading to so-called heteroskedasticity and autocorrelation robust test procedures. These procedures...

Persistent link: https://www.econbiz.de/10011113717

A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time

Skrobotov, Anton - Gaidar Institute for Economic Policy - 2014

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...

Persistent link: https://www.econbiz.de/10010812375

Skrobotov, Anton - Gaidar Institute for Economic Policy - 2013

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the...

Persistent link: https://www.econbiz.de/10010764503