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Title: Unit root testing in the presence of heavy-tailed GARCH errors
Authors: Wang,Gaowen;Mao,Wei-Lin
Contributors: 政大經濟系
Keywords: augmented Dickey–Fuller tests;Lindeberg condition;martingale invariance principle;self-normalized sums
Date: 2008-05
Issue Date: 2013-09-16 17:31:46 (UTC+8)
Abstract: 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.
Relation: Australian & New Zealand Journal of Statistics, 50(3), 273-292
Data Type: article
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