Testing for a Unit Root on Time Series with AR(1)-GARCH-GED Errors

被引：0
|
作者：
Chen Zhicheng [1 ]
Zhang Hongyun [1 ]
Wu Yanbing [1 ]
Ma Baolin [1 ]
机构：
[1] Henan Inst Sci & Technol, Xinxiang 453003, Peoples R China
来源：
PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE ON INFORMATION, ELECTRONIC AND COMPUTER SCIENCE, VOLS I AND II | 2009年
关键词：
Unit root; GARCH-GED; Critical Value; ADF test;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, the ADF unit root test of time series with autoregressive conditional heteroscedasticity and conditional GED distribution on the error term has been simulated. We have analyzed the effect on critical values of Z(rho), Z(t) and caused by the sample size and fat-tail, especially as approaching unity. The simulation suggests that the more strongly it fluctuates, the lower the validity of ADF unit root test is.
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页码：49 / 52
页数：4
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