A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors

被引：0

作者：

Xiao-rong Yang

Li-xin Zhang

机构：

[1] Zhejiang Univ.,Dept. of Math.

来源：

Applied Mathematics-A Journal of Chinese Universities | 2008年 / 23卷

关键词：

unit root; AR (; )-GARCH (1,1); self-normalized; Dickey-Fuller test statistic; 62F05; 60F05;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this article, the unit root test for AR(p) model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums, and the asymptotic distribution of the test statistics is derived under the weak conditions.

引用

页码：197 / 201

页数：4

共 17 条

[1] A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors
Yang Xiao-rong
Zhang Li-xin
[J]. APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B, 2008, 23 (02) : 197 - 201
[2] A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors
YANG Xiao-rong ZHANG Li-xin Dept.of Math.
[J]. Applied Mathematics:A Journal of Chinese Universities, 2008, (02) : 197 - 201
[3] A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
Arvanitis, Stelios
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[4] Using Double Frequency in Fourier Dickey-Fuller Unit Root Test
Cai, Yifei
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[8] Effects of breaks under the null hypothesis with the Dickey-Fuller test for unit root
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[10] Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
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[J]. JOURNAL OF TIME SERIES ANALYSIS, 2010, 31 (03) : 153 - 166

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