Portmanteau-type test for unit root with heavy-tailed noise

DOI10.1016/j.jspi.2021.09.003zbMath1480.62184OpenAlexW3202251184MaRDI QIDQ2059452

Mo Zhou, Yaolan Ma, Rong Mao Zhang

Publication date: 14 December 2021

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.09.003

zbMATH Keywords

linear processheavy tailnonparametricunit root teststable distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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