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Title: Time varying persistence in GARCH-in-mean models with time-dependent coefficients Authors:  Alessandra Canepa - Brunel University (United Kingdom) [presenting]
Abstract: A number of unit root tests are considered and the results of a Monte Carlo experiment are presented to investigate the size and power properties of these tests in the presence of breaks in the mean and the variance equation of an AR-GARCHM data generating process. It is found that the location and the magnitude of the breaks badly affect the size and power properties of the test statistics. In particular, in the presence of an in-mean effect, conventional unit root tests tend to falsely indicate that the underlying process is I(1).