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Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH

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Author Info
Westerlund, Joakim () (Department of Economics, School of Business, Economics and Law, Göteborg University)
Narayan, Paresh (Deakin University)

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Abstract

In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.

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File URL: http://hdl.handle.net/2077/21049
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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number 379.

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Length: 21 pages
Date of creation: 11 Sep 2009
Date of revision:
Handle: RePEc:hhs:gunwpe:0379

Contact details of provider:
Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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Related research
Keywords: Panel Data; Unit Root Tests; GARCH;

Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
G00 - Financial Economics - - General - - - General

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This page was last updated on 2009-12-4.

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