Unit root tests and dramatic shifts with infinite variance processes

DOI10.1080/02664760802554321zbMath1473.62310OpenAlexW2090706890MaRDI QIDQ3184468

Luis F. Martins

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802554321

zbMATH Keywords

unit rootpartial sumsstable processeslimit distributionsempirical size and power

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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