Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets
Author
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