Testing for a Unit Root on Time Series with AR(1)-GARCH-GED Errors

摘要：

In this paper,the ADF unit root test of time series with autoregressive conditional heteroscedasticity and conditional GED distribution on the error term has been simulated.We have analyzed the effect on critical values of Zp,Zt and caused by the sample size and fat-tail,especially as approaching unity. The simulation suggests that the more strongly it fluctuates,the lower the validity of ADF unit root test is.

关键词： Unit root GARCH-GED Critical Value ADF test

作者: Chen Zhicheng Zhang Hongyun Wu Yanbing Ma baolin

作者单位: Henan Institute of Science and Technology,Xinxiang,P.R.China,453003

会议类型: 国际会议

会议名称: 2009 International Conference on Information,Electronic and Computer Science(2009 国际信息、电子与计算机工程学术会议)

会议地点: 青岛

会议语种:英文

页码: 49-52

在线出版日期: 2009-11-21（万方平台首次上网日期，不代表论文的发表时间）