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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets

Author

  • Joakim Westerlund
  • Paresh Narayan

Summary, in English

In 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.

Publishing year

2014

Language

English

Pages

173-176

Publication/Series

Economic Modelling

Volume

Volume 41

Issue

August 2014

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Panel Data
  • Unit Root Tests
  • GARCH.

Status

Published

ISBN/ISSN/Other

  • ISSN: 0264-9993