A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors

被引：2

作者：

Yang Xiao-rong ^{[1
]}

Zhang Li-xin ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China

来源：

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2008年 / 23卷 / 02期

基金：

中国国家自然科学基金;

关键词：

unit root; AR (p)-GARCH (1,1); self-normalized; Dickey-Fuller test statistic;

D O I：

10.1007/s11766-008-0209-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article, the unit root test for AR(p) model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums, and the asymptotic distribution of the test statistics is derived under the weak conditions.

引用

页码：197 / 201

页数：5

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