| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153916 | Statistics & Probability Letters | 2006 | 5 Pages |
Abstract
In this paper, we derive the asymptotic distributions of Dickey–Fuller tests for unit root processes with GARCH(1,1)GARCH(1,1) errors when the fourth moment condition is not satisfied. Particularly, the fourth moment condition on the scaled conditional errors is weakened.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gaowen Wang,