Subsampling unit root tests for heavy-tailed observations

DOI10.1023/B:MCAP.0000012416.28866.c5zbMath1045.62086OpenAlexW2002901580MaRDI QIDQ1431346

Agnieszka Jach, Piotr S. Kokoszka

Publication date: 27 May 2004

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:mcap.0000012416.28866.c5

zbMATH Keywords

tablesunit rootheavy tailssubsamplingstable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (9)

A Note on Unit Root Tests with Infinite Variance Noise ⋮ Unit root bootstrap tests under infinite variance ⋮ A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Testing for bubbles and change-points ⋮ Subsampling tests for the mean change point with heavy-tailed innovations ⋮ Portmanteau-type test for unit root with heavy-tailed noise

This page was built for publication: Subsampling unit root tests for heavy-tailed observations