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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

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

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

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

Time series modelling of global mean temperature for managerial decision-making

Romilly, Peter - 2005

non-seasonal unit root testing with and without structural breaks, as well as ARIMA and GARCH modelling. A forecasting … of GARCH modelling also shows the presence of volatility clustering in the temperature data, and a positive association …

Persistent link: https://www.econbiz.de/10009463226

Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland

Brüggemann, Ralf; Trenkler, Carsten - 2005

The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of log-differences in per-capita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous...

Persistent link: https://www.econbiz.de/10010263582

A Nonlinear Unit Root Test in the Presence of an Unknown Break

Popp, Stephan - 2008

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...

Persistent link: https://www.econbiz.de/10010264716

Is East Germany Catching Up? A Time Series Perspective

Aumann, Bernd; Scheufele, Rolf - 2009

This paper assesses whether the economy of East Germany is catching up with the West German region in terms of welfare. While the primary measure for convergence and catching up is per capita output, we also look at other macroeconomic indicators such as unemployment rates, wage rates, and...

Persistent link: https://www.econbiz.de/10010271406