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.
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.
基金
National Natural Science Foundation of China(10471126
10671176).