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Volumn 59, Issue 3, 1993, Pages 287-300

Unit root tests with conditional heteroskedasticity

Author keywords

[No Author keywords available]

Indexed keywords


EID: 38249001288     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(93)90027-3     Document Type: Article
Times cited : (110)

References (35)
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    • Dickey1
  • 8
    • 0000472488 scopus 로고
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    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey1    Fuller2
  • 9
    • 41549134991 scopus 로고
    • The time-series structure of exchange rate fluctuations
    • University of Pennsylvania, Philadelphia, PA
    • (1986) Ph.D. dissertation
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    • Probabilistic properties of the general nonlinear Markovian process of order one and applications to time series modelling
    • Laboratoire de Statistique Théorique et Appliquée, Paris
    • (1990) Unpublished manuscript
    • Diebold1    Guégan2
  • 22
    • 44049123033 scopus 로고
    • Filtering and forthcasting with misspecified ARCH models I: Getting the right variance with the wrong model
    • (1992) Journal of Econometrics , vol.52 , pp. 61-90
    • Nelson1
  • 23
    • 84867993394 scopus 로고
    • Estimating conditional variances with misspecified ARCH models: Asymptotic theory
    • Graduate School of Business, University of Chicago, Chicago, IL
    • (1991) Working paper 90-100
    • Nelson1    Foster2
  • 24
    • 0039767733 scopus 로고
    • Heteroscedasticity in models with lagged dependent variables
    • (1983) Econometrica , vol.51 , pp. 1233-1242
    • Nichols1    Pagan2
  • 26
    • 0002602356 scopus 로고
    • Estimation of autoregressive models with ARCH errors
    • (1988) Sankhya B , vol.50 , pp. 119-138
    • Pantula1
  • 35
    • 0000095552 scopus 로고
    • A heteropskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.