UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS

DOI10.1081/ETC-100107000zbMath1044.62090OpenAlexW2016140655MaRDI QIDQ4471134

Sung K. Ahn, Lijian He, Stergios B. Fotopoulos

Publication date: 18 June 2004

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

Full work available at URL: https://doi.org/10.1081/etc-100107000

zbMATH Keywords

tablesinvariance principlesstable distributionspartial sum processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items

A Note on Unit Root Tests with Infinite Variance Noise, Modified unit root tests with nuisance parameter free asymptotic distributions, Unit root bootstrap tests under infinite variance, Asymptotic inference in time series regressions with a unit root and infinite variance errors, Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors, The power of unit root tests under local-to-finite variance errors, A reexamination of stock return predictability, A class of simple distribution-free rank-based unit root tests, Portmanteau-type test for unit root with heavy-tailed noise, Semiparametrically point-optimal hybrid rank tests for unit roots, Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors

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