A note on unit root tests with heavy-tailed GARCH errors
In this paper, we derive the asymptotic distributions of Dickey-Fuller tests for unit root processes with GARCH(1,1) errors when the fourth moment condition is not satisfied. Particularly, the fourth moment condition on the scaled conditional errors is weakened.
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Volume (Year): 76 (2006)
Issue (Month): 10 (May)
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- 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.
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