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

机译：用AR（1）-GARCH-GED错误测试单位序列的单位根

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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.

机译：在本文中，已经模拟了对误越口条件异素的时间序列的ADF单位根系对误差术语的条件GED分布。我们已经分析了对ZP，ZT的临界值和由样品尺寸和脂肪尾部引起的影响的影响，特别是接近团结。模拟表明，它波动越强，ADF单位根系的有效性越低。

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来源
《International conference on information, electronic and computer science》|2009年||共4页
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作者
Chen Zhicheng; Zhang Hongyun; Wu Yanbing; Ma baolin;
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原文格式 PDF
正文语种
中图分类计算技术、计算机技术;
关键词
Unit root; GARCH-GED; Critical Value; ADF test;

机译：单位根;GARCH-GED;临界值;ADF测试;

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1. Unit Root Test for Panel Data AR(1) Time Series Model With Linear Time Trend and Augmentation Term: A Bayesian Approach [J] . Jitendra Kumar, Anoop Chaturvedi, Umme Afifa, Journal of Modern Applied Statistical Methods . 2017,第2期

机译：面板数据的单位根测试AR（1）时间序列模型具有线性时间趋势和增强术语：贝叶斯方法
2. Unit Root Test for Panel Data AR(1) Time Series Model With Linear Time Trend and Augmentation Term: A Bayesian Approach [J] . Jitendra Kumar, Anoop Chaturvedi, Umme Afifa, Journal of Modern Applied Statistical Methods . 2017,第2期

机译：面板数据的单位根测试AR（1）时间序列模型具有线性时间趋势和增强术语：贝叶斯方法
3. Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series [J] . Jen-Je Sua* Eduardo Rocaa Applied Economics Letters . 2012,第4期

机译：在不假设基础时间序列的误差过程独立的情况下，检验随机单位根检验的功效
4. Testing for a Unit Root on Time Series with AR(1)-GARCH-GED Errors [C] . Chen Zhicheng, Zhang Hongyun, Wu Yanbing, International conference on information, electronic and computer science;ICIECS 2009 . 2009

机译：测试具有AR（1）-GARCH-GED错误的时间序列的单位根
5. Essays on unit root testing in time series [D] . Zhong, Xiao 2015

机译：关于时间序列中的单位根测试的论文
6. Unit Root Testing and Estimation in Nonlinear ESTAR Models with Normal and Non-Normal Errors [O] . Umair Khalil, Alamgir, Amjad Ali, -1

机译：具有正态和非正态误差的非线性ESTAR模型中的单位根测试和估计
7. Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series [O] . Su Jen-Je, Roca Eduardo 2012

机译：在不假设基础时间序列的误差过程独立的情况下，检验随机单位根检验的功效

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

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