The robustness of modified unit root tests in the presence of GARCH
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DOI: 10.1080/14697680600702045
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- Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
- Li, Yushu & Shukur, Ghazi, 2009.
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Keywords
GARCH; Unit root tests; Size distortion;All these keywords.
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