Asymptotic inference in time series regressions with a unit root and infinite variance errors

DOI10.1016/S0378-3758(02)00236-7zbMath1020.62076MaRDI QIDQ1400136

Nunzio Cappuccio, Diego Lubian, Francesca Callegari

Publication date: 13 August 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

infinite variancestable processesunit root testslocal-to-finite variancetime series regressions with a unit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

A Note on Unit Root Tests with Infinite Variance Noise ⋮ Unit root bootstrap tests under infinite variance ⋮ Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors ⋮ COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” ⋮ The power of unit root tests under local-to-finite variance errors ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Monitoring persistence change in infinite variance observations ⋮ Semiparametrically point-optimal hybrid rank tests for unit roots ⋮ Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations

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