I am constructing a Dickey-Fuller test with ARCH-errors, and I need critical values for testing the unit root coefficient. The usual Dickey-Fuller, Augmented Dickey-Fuller, or MacKinnon critical values with or without trend and intercept are not valid in the case of conditional heteroscedasticity (arch/garch). Therefore, I need a reference for a table constructed for an ADF-test with ARCH-errors (that is, usual ARCH-errors in the variance equation).
I am very thankful for any help in this matter!
Regards,
Pär
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