A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors

作者：Yang Xiao-rong^*; Zhang Li-xin

来源：Applied Mathematics. Series B, A Journal of Chinese Universities, 2008, 23(2): 197-201.

DOI：10.1007/s11766-008-0209-x

• unit root
• AR (p)-GARCH (1,1)
• self-normalized
• Dickey-Fuller test statistic

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.

• 出版日期2008-6
• 单位浙江大学