Testing for a unit root in the presence of stochastic volatility and leverage effect
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.econmod.2012.04.007

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/4WOS source URL

其它资讯

摘要Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that the proposed Bayesian unit root test statistic achieves good finite sample properties and is robust to the stationarity of stochastic volatility. Crown Copyright (C) 2012 Published by Elsevier B.V. All rights reserved.

着者Li Y, Chong TTL, Zhang J
期刊名称Economic Modelling
出版年份2012
月份9
日期1
卷号29
期次5
出版社Elsevier
页次2035 - 2038
国际标準期刊号026http://aims.cuhk.edu.hk/converis/portal/Publication/4-9993
电子国际标準期刊号1873-6122
语言英式英语

关键词Bayes factor; Leverage effect; Stationarity; Stochastic volatility; Unit root
Web of Science 学科类别Business & Economics; Economics; ECONOMICS