UNIT-ROOT TESTS WITH LEVEL SHIFT IN THE PRESENCE OF GARCH

被引：3
|
作者：
HECQ, A
机构：
[1] Service des Etudes et de la Statistique (S.E.S.), Ministère de la Région Wallonne, 5100 Jambes
来源：
ECONOMICS LETTERS | 1995年 / 49卷 / 02期
关键词：
UNIT ROOT; BREAKING MEAN; GARCH;
D O I：
10.1016/0165-1765(95)00654-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this paper is to examine, using Monte Carlo experiments, the behaviour of unit root tests with a changing mean at an unknown date (Perron and Vogelsang, Journal of Business and Economic Statistics, 1992, 10, 301-320), in the presence of IGARCH errors. We find that the empirical sizes of the test statistics are significantly above the nominal ones and that distortions are considerably amplified by a conditional Student's t distribution instead of a normal one.
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页码：125 / 130
页数：6
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