Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets
(2014) In Economic Modelling Volume 41(August 2014). p.173-176- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588913
- author
- Westerlund, Joakim LU and Narayan, Paresh
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Panel Data, Unit Root Tests, GARCH.
- in
- Economic Modelling
- volume
- Volume 41
- issue
- August 2014
- pages
- 173 - 176
- publisher
- Elsevier
- external identifiers
-
- scopus:84901505834
- ISSN
- 0264-9993
- DOI
- 10.1016/j.econmod.2014.05.018
- language
- English
- LU publication?
- no
- id
- 5e8cd1ed-8fae-4d0b-9b2e-e61e0bc47074 (old id 4588913)
- date added to LUP
- 2016-04-01 10:48:56
- date last changed
- 2022-03-27 19:47:21
@article{5e8cd1ed-8fae-4d0b-9b2e-e61e0bc47074, abstract = {{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.}}, author = {{Westerlund, Joakim and Narayan, Paresh}}, issn = {{0264-9993}}, keywords = {{Panel Data; Unit Root Tests; GARCH.}}, language = {{eng}}, number = {{August 2014}}, pages = {{173--176}}, publisher = {{Elsevier}}, series = {{Economic Modelling}}, title = {{Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets}}, url = {{http://dx.doi.org/10.1016/j.econmod.2014.05.018}}, doi = {{10.1016/j.econmod.2014.05.018}}, volume = {{Volume 41}}, year = {{2014}}, }