Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data

Economics Letters

Volumn 86, Issue 3, 2005, Pages 427-433

  Valkanov, Rossen ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Conditional heteroskedasticity; DF test; FCLT; Unit root test

Indexed keywords

EID: 14544267647     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.09.008     Document Type: Article

References (7)

1. D. Dickey W. Fuller Distribution of the estimators for autoregressive time series with a unit root Journal of the American Statistical Association 74 1979 427-431
2. W. Fuller Introduction to Statistical Time Series 1976 Wiley New York
3. B. Hansen GARCH(1,1) processes are near epoch dependent Economics Letters 36 1991 181-186
4. M. Lanne Testing the predictability of stock returns Review of Economics and Statistics 84 2002 407-415
5. Mattew Richardson James Stock Drawing inferences from statistics based on multi-year asset returns Journal of Financial Economics 25 1989 323-348
6. J. Stock Unit roots and time breaks In: Robert Engle Daniel McFadden (Eds.) Handbook of Econometrics vol. 4 1993 North-Holland Amsterdam
7. R. Valkanov Long-horizon regressions: Theoretical results and applications The Journal of Financial Economics 68 2003 201-232