The robustness of modified unit root tests in the presence of GARCH-Reference-Cited by-同舟云学术

The robustness of modified unit root tests in the presence of GARCH

Published:2006-08 Issue:4 Volume:6 Page:359-363
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Cook Steven

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697680600702045

Reference23 articles.

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4. Unit root testing in the presence of innovation variance breaks: a simple solution with increased power

5. Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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