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A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test

Francq, C; Makarova, S; Michel-Zakoian, J; (2008) A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test. J ECONOMETRICS , 142 (1) 312 - 326. 10.1016/j.jeconom.2007.04.003.

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Abstract

A class of stochastic unit-root bilinear processes, allowing for GARCH-type effects with asymmetries, is studied. Necessary and sufficient conditions for the strict and second-order stationarity of the error process are given. The strictly stationary solution is shown to be strongly mixing under mild additional assumptions. It follows that, in this model, the standard (non-stochastic) unit-root tests of Phillips-Perron and Dickey-Fuller are asymptotically valid to detect the presence of a (stochastic) unit-root. The finite sample properties of these tests are studied via Monte-Carlo experiments. (C) 2007 Elsevier B.V. All rights reserved.

Type:Article
Title:A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test
DOI:10.1016/j.jeconom.2007.04.003
Keywords:augmented Dickey-Fuller test, bilinear processes, GARCH, mixing, Phillips-Perron test, stochastic unit-roots, CONSISTENT COVARIANCE-MATRIX, TIME-SERIES REGRESSION, CONDITIONAL HETEROSKEDASTICITY, GARCH PROCESSES, LONG MEMORY, MODELS, STATIONARITY, VOLATILITY
UCL classification:UCL > School of Arts and Social Sciences > SSEES (School of Slavonic and East European Studies)

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