Unit Root Tests and Heavy‐Tailed Innovations

DOI10.1111/jtsa.12233zbMath1416.62463OpenAlexW2592724751MaRDI QIDQ5357988

A. M. Robert Taylor, Paulo M. M. Rodrigues, Iliyan Georgiev

Publication date: 18 September 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/18831/1/local_rev_v2.pdf

zbMATH Keywords

infinite variance\(\alpha\)-stable distributionEicker-White standard errorsasymptotic local power functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Stable stochastic processes (60G52) Non-Markovian processes: hypothesis testing (62M07)

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