Rank tests of unit root hypothesis with infinite variance errors

DOI10.1016/S0304-4076(01)00050-1zbMath1026.62092MaRDI QIDQ5944500

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Publication date: 16 December 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

quantile regression\(\alpha\)-stable processregression rank scoreunit root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Unit root quantile autoregression testing using covariates, A Note on Unit Root Tests with Infinite Variance Noise, Unit root bootstrap tests under infinite variance, A class of simple distribution-free rank-based unit root tests, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Semiparametrically point-optimal hybrid rank tests for unit roots, NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS

Uses Software

• AS 229

Cites Work

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