Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets
Författare
Summary, in English
In search for more powerful unit root tests, some researchers have recently proposed accounting for the information contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but the information contained in a panel of multiple time series. The purpose of the current note is to compare the relative power achievable from these two information sources.
Publiceringsår
2014
Språk
Engelska
Sidor
173-176
Publikation/Tidskrift/Serie
Economic Modelling
Volym
Volume 41
Issue
August 2014
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Panel Data
- Unit Root Tests
- GARCH.
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0264-9993