Joakim Westerlund

Professor, Programchef - Magisterprogram i Dataanalys och ekonomi

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

Författare

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.

Publiceringsår

2014

Språk

Engelska

Sidor

173-176

Publikation/Tidskrift/Serie

Economic Modelling

Volym

Volume 41

Issue

August 2014