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A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test

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  • Francq, Christian
  • Makarova, Svetlana
  • Zakoi[diaeresis]an, Jean-Michel

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 312-326

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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:312-326

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
  2. Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Centre de Recherche en Economie et Statistique.
  3. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
  4. Rodrigues, Paulo M.M. & Rubia, Antonio, 2005. "The performance of unit root tests under level-dependent heteroskedasticity," Economics Letters, Elsevier, vol. 89(3), pages 262-268, December.
  5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  6. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  7. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
  8. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
  9. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  10. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  11. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
  12. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-46, October.
  13. Shiqing Ling, 2004. "Estimation and testing stationarity for double-autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 63-78.
  14. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  15. Charemza, Wojciech W. & Lifshits, Mikhail & Makarova, Svetlana, 2005. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 63-96, January.
  16. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  17. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  18. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  19. Ling, Shiqing & Li, W.K., 2003. "Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors," Econometric Theory, Cambridge University Press, vol. 19(04), pages 541-564, August.
  20. Francq, Christian & Zako an, Jean-Michel, 2006. "Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process," Econometric Theory, Cambridge University Press, vol. 22(05), pages 815-834, October.
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Cited by:
  1. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print peer-00732536, HAL.
  2. Roberto Leon-Gonzalez & Fuyu Yang, 2014. "Bayesian Inference and Forecasting in the Stationary Bilinear Model," University of East Anglia Applied and Financial Economics Working Paper Series 055, School of Economics, University of East Anglia, Norwich, UK..

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