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

Joakim Westerlund and Paresh Narayan ()

Economic Modelling, 2014, vol. 41, issue C, 173-176

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.

Keywords: Panel data; Unit root tests; GARCH (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:41:y:2014:i:c:p:173-176

DOI: 10.1016/j.econmod.2014.05.018

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