NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS

DOI10.1017/S0266466620000377zbMath1479.62068OpenAlexW3096285638MaRDI QIDQ5012628

Rong Mao Zhang, Ngai Hang Chan

Publication date: 25 November 2021

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

Full work available at URL: https://doi.org/10.1017/s0266466620000377

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Nearly nonstationary processes under infinite variance GARCH noises ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ Portmanteau-type test for unit root with heavy-tailed noise

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