The impact of fat-tailed distributions on some leading unit roots tests

DOI10.1080/0266476032000053736zbMath1121.62466OpenAlexW2007101659MaRDI QIDQ3591843

Saeed M. Heravi, Kerry D. Patterson

Publication date: 11 September 2007

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

Full work available at URL: https://doi.org/10.1080/0266476032000053736

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

A Note on Unit Root Tests with Infinite Variance Noise ⋮ Simulation analysis of threshold autoregressive unit root tests

Cites Work

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• A Mathematical Theory of Communication
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
• Time Series Regression with a Unit Root
• "Infinite Variance" and Research Strategy in Time Series Analysis

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