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

journal contribution
posted on 2014-08-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, Paresh Narayan
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.

History

Journal

Economic modelling

Volume

41

Pagination

173 - 176

Publisher

Elsevier BV

Location

Amsterdam, The Netherlands

ISSN

0264-9993

eISSN

1873-6122

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2014, Elsevier BV

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