کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054126 | 1476527 | 2014 | 4 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Panel versus GARCH information in unit root testing with an application to financial markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In a search for more powerful unit root tests, some researchers have recently proposed accounting for the information contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but the information contained in a panel of multiple time series. The purpose of the current note is to compare the relative power achievable from these two information sources.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 41, August 2014, Pages 173-176
Journal: Economic Modelling - Volume 41, August 2014, Pages 173-176
نویسندگان
Joakim Westerlund, Paresh Narayan,