A Note on Unit Root Tests with Infinite Variance Noise

DOI10.1080/07474930802458638zbMath1172.62027OpenAlexW2091513515MaRDI QIDQ3183724

Keith Knight, D. M. Mahinda Samarakoon

Publication date: 21 October 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802458638

zbMATH Keywords

stable lawsinfinite varianceunit roots\(M\)-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items

Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations, A family of nonparametric unit root tests for processes driven by infinite variance innovations, Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises, Rank test of unit‐root hypothesis with AR‐GARCH errors, Optimal stable Ornstein-Uhlenbeck regression, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, Quantile inference for nonstationary processes with infinite variance innovations, Portmanteau-type test for unit root with heavy-tailed noise, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors, NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS

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