Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors

DOI10.1007/s10463-006-0060-xzbMath1122.62010OpenAlexW1539592119MaRDI QIDQ2457963

Nunzio Cappuccio, Diego Lubian

Publication date: 24 October 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0060-x

zbMATH Keywords

asymptotic distributionsstable distributionsunit root testsstationarity testssize distortions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

A Note on Unit Root Tests with Infinite Variance Noise, COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”, The power of unit root tests under local-to-finite variance errors, Monitoring persistence change in infinite variance observations, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations

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