Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
By S. Ling, Wai Keung Li, Michael Mcaleer. 2003
78 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/36da8bbfc937d36468db5587fcd9cfb8c7a57f41
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In Economics and Econometrics
- Giuseppe Cavaliere
- Alan M. Taylor
- Robert J. Taylor
- Matei Demetrescu
- S. Leybourne
- Christoph Hanck
- M. Schularick
- David I. Harvey
In Finance
- Giuseppe Cavaliere
- Alan M. Taylor
- M. Schularick
- Hélène Rey
- Thomas Steger
- S. Leybourne
- Ò. Jordà
- Fang Xu
Citations in the corpus
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007, background): “…tests ~for the former, see Nelson, Piger, and Zivot, 2001; Cavaliere, 2003; for the latter, see Hansen and Rahbek, 1998; Kim and Schmidt, 1993; Ling, Li, and McAleer, 2003!, permanent changes in volatility can, however, greatly affect unit root inference; see Hamori and Tokihisa ~1997!,…”
- Inference in Autoregression under Heteroskedasticity (2006, unknown): “Kim and Schmidt (1993), Hamori and Tokihisa (1997), Seo (1999), Burridge and Taylor (2001), Nelson et al. (2001), Cavaliere (2003), Ling et al. (2003) and Boswijk”
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, background): “1228 c© 2009 Cambridge University Press 0266-4666/09 $15.00 HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 1229 that forms a stationary and ergodic Markov chain; see Ling, Li, and McAleer (2003), Burridge and Taylor (2001), and Nelson, Piger, and Zivot (2001), respectively, for details.”