| A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors |
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| 作者单位： | YANG Xiao-rong ZHANG Li-xin Dept.of Math.，Zhejiang Univ.，Hangzhou 310027，China. |
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| 摘 要： | In this article, the unit root test for AR（p） model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums, and the asymptotic distribution of the test statistics is derived under the weak conditions.
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| 关 键 词： | 统计量 最小整数 根 GARCH误差 |
A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors |
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| Authors: | Xiao-rong Yang Li-xin Zhang |
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| Institution: | Dept. of Math., Zhejiang Univ., Hangzhou 310027, China |
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| Abstract: | In this article,the unit root test for AR(p)model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums,and the asymptotic distribution of the test statistics is derived under the weak conditions. |
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| Keywords: | unit root AR(p)-GARCH(1 1) self-normalized Dickey-Fuller test statistic |
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