Panel versus GARCH information in unit root testing with an application to financial markets

Westerlund, Joakim and Narayan, Paresh 2014, Panel versus GARCH information in unit root testing with an application to financial markets, Economic modelling, vol. 41, pp. 173-176, doi: 10.1016/j.econmod.2014.05.018.

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Title Panel versus GARCH information in unit root testing with an application to financial markets
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Narayan, PareshORCID iD for Narayan, Paresh orcid.org/0000-0001-7934-8146
Journal name Economic modelling
Volume number 41
Start page 173
End page 176
Publisher Elsevier BV
Place of publication Amsterdam, The Netherlands
Publication date 2014-08
ISSN 0264-9993
1873-6122
Keyword(s) GARCH
Panel data
Unit root tests
Social Sciences
Economics
Business & Economics
CONDITIONAL HETEROSKEDASTICITY
TIME-SERIES
ERRORS
Summary In a 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. © 2014 Elsevier B.V.
Language eng
DOI 10.1016/j.econmod.2014.05.018
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900103 Superannuation and Insurance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier BV
Persistent URL http://hdl.handle.net/10536/DRO/DU:30068352

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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