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Panel versus GARCH information in unit root testing with an application to financial markets

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  • Westerlund, Joakim
  • Narayan, Paresh

Abstract

In a 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.

Suggested Citation

  • Westerlund, Joakim & Narayan, Paresh, 2014. "Panel versus GARCH information in unit root testing with an application to financial markets," Economic Modelling, Elsevier, vol. 41(C), pages 173-176.
    • Handle: RePEc:eee:ecmode:v:41:y:2014:i:c:p:173-176
    DOI: 10.1016/j.econmod.2014.05.018
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    References listed on IDEAS

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    1. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
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    Cited by:

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