کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097322 | 1376582 | 2008 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
A class of stochastic unit-root bilinear processes, allowing for GARCH-type effects with asymmetries, is studied. Necessary and sufficient conditions for the strict and second-order stationarity of the error process are given. The strictly stationary solution is shown to be strongly mixing under mild additional assumptions. It follows that, in this model, the standard (non-stochastic) unit-root tests of Phillips-Perron and Dickey-Fuller are asymptotically valid to detect the presence of a (stochastic) unit-root. The finite sample properties of these tests are studied via Monte-Carlo experiments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 312-326
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 312-326
نویسندگان
Christian Francq, Svetlana Makarova, Jean-Michel Zakoı¨an,