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    題名: Unit root testing in the presence of heavy-tailed GARCH errors
    作者: Wang,Gaowen;Mao,Wei-Lin
    貢獻者: 政大經濟系
    關鍵詞: augmented Dickey–Fuller tests;Lindeberg condition;martingale invariance principle;self-normalized sums
    日期: 2008-05
    上傳時間: 2013-09-16 17:31:46 (UTC+8)
    摘要: We derive the asymptotic distributions of the Dickey–Fuller (DF) and augmented DF (ADF) tests for unit root processes with Generalized Autoregressive Conditional Heteroscedastic (GARCH) errors under fairly mild conditions. We show that the asymptotic distributions of the DF tests and ADF t-type test are the same as those obtained in the independent and identically distributed Gaussian cases, regardless of whether the fourth moment of the underlying GARCH process is finite or not. Our results go beyond earlier ones by showing that the fourth moment condition on the scaled conditional errors is totally unnecessary. Some Monte Carlo simulations are provided to illustrate the finite-sample-size properties of the tests.
    關聯: Australian & New Zealand Journal of Statistics, 50(3), 273-292
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1111/j.1467-842X.2008.00517.x
    DOI: 10.1111/j.1467-842X.2008.00517.x
    顯示於類別:[經濟學系] 期刊論文

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