A bootstrap approximation to a unit root test statistic for heavy-tailed observations.

DOI10.1016/S0167-7152(03)00007-5zbMath1116.62393OpenAlexW2085325849MaRDI QIDQ1423259

Lajos Horváth, Piotr S. Kokoszka

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00007-5

zbMATH Keywords

Unit rootBootstrapStable distributionHeavy tails

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (22)

Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance ⋮ A Note on Unit Root Tests with Infinite Variance Noise ⋮ Estimation of the mean for critical branching process and its bootstrap approximation ⋮ Ratio detection for mean change in α mixing observations ⋮ Unit root bootstrap tests under infinite variance ⋮ The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations ⋮ Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations ⋮ Modified tests for variance changes in autoregressive regression ⋮ Truncating estimation for the change in stochastic trend with heavy-tailed innovations ⋮ Detection and estimation of structural change in heavy-tailed sequence ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Testing for bubbles and change-points ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ A robust test for mean change in dependent observations ⋮ Strong convergence rate of robust estimator of change point ⋮ Bootstrap tests for structural change with infinite variance observations ⋮ Monitoring persistence change in infinite variance observations ⋮ Portmanteau-type test for unit root with heavy-tailed noise

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