کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9549267 | 1371881 | 2005 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data](/preview/png/9549267.png)
چکیده انگلیسی
We simulate the small-sample distribution of the Dickey-Fuller (DF) test with data generated from various GARCH(1,1) processes where the parameters α and β are close to the boundary of integration. As the length of the sample increases, the small-sample distributions of the DF test converge slowly to the asymptotic one, and the convergence is even slower as α+β approaches unity. This suggests that, with strongly heteroskedastic data, we must use caution when relying on asymptotic tools that use the Functional Central Limit Theorem (FCLT). Indeed, with close-to-integrated GARCH(1,1) data, the asymptotic DF critical values lead to grossly oversized tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 86, Issue 3, March 2005, Pages 427-433
Journal: Economics Letters - Volume 86, Issue 3, March 2005, Pages 427-433
نویسندگان
Rossen Valkanov,