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A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors 被引量：1

A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors
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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. 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.
作者 YANG Xiao-rong ZHANG Li-xin
机构地区 Dept. of Math.
出处 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2008年第2期197-201,共5页 高校应用数学学报（英文版）（B辑）
基金 National Natural Science Foundation of China(10471126 10671176).
关键词 unit root AR （p）-GARCH （1 1） SELF-NORMALIZED Dickey-Fuller test statistic. unit root, AR （p）-GARCH （1,1）, self-normalized, Dickey-Fuller test statistic.
分类号 O212 [理学—概率论与数理统计]
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参考文献13

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  • 2Chan N H, Wei C Z. Limiting distribution of least squares estimates of unstable autoregressive process, Ann Statist, 1988, 16: 367-401.
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  • 4Dickey D A,Fuller W A. Distribution of the estimators for autoregressive time series with a unit root, J Amer Statist Assoc, 1979, 74: 427-431.
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  • 6Hall P, Heyde C C. Martingale Limit Theory and Its Application, New York: Academic Press, 1980.
  • 7Ling S Q, Li W K. Limit distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors, Ann Statist, 1998, 26: 84-125.
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Applied Mathematics(A Journal of Chinese Universities)
2008年 第2期

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