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Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets

Westerlund, Joakim LU and Narayan, Paresh (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.
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author
publishing date
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
2014-08-20 11:26:01
date last changed
2017-01-01 03:55:24
@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},
  keyword      = {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},
  volume       = {Volume 41},
  year         = {2014},
}