New tests for unit roots in autoregressive processes with possibly infinite variance errors

DOI10.1016/S0167-7152(99)00031-0zbMath0947.62057MaRDI QIDQ1962136

Yanyan Li

Publication date: 30 January 2000

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

zbMATH Keywords

unit root testM-estimationinfinite variance error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ A robust sign test for panel unit roots under cross sectional dependence ⋮ An invariant sign test for random walks based on recursive median adjustment ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.

Cites Work

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• Inference for Near-Integrated Time Series With Infinite Variance

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