Tests for cointegration with infinite variance errors

DOI10.1016/S0304-4076(97)00112-7zbMath1041.62515WikidataQ127775827 ScholiaQ127775827MaRDI QIDQ1298440

Mehmet Caner

Publication date: 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

symmetric stable processQuadratic variationSize distortion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (17)

Automated Estimation of Heavy-Tailed Vector Error Correction Models ⋮ A Note on Unit Root Tests with Infinite Variance Noise ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ A unifying theory of tests of rank ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ Empirical processes for infinite variance autoregressive models ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Moment condition tests for heavy tailed time series ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ TIME-VARYING COINTEGRATION ⋮ COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” ⋮ Inference in heavy-tailed vector error correction models ⋮ SUBSAMPLING THE JOHANSEN TEST WITH STABLE INNOVATIONS ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Cointegrated processes with infinite variance innovations ⋮ Statistical inference in regression with heavy-tailed integrated variables

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• Portfolio Analysis in a Stable Paretian Market
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