The power of unit root tests under local-to-finite variance errors

DOI10.1016/j.chaos.2015.03.012zbMath1352.62134OpenAlexW2074876604MaRDI QIDQ727839

Mirko Mistrorigo, Diego Lubian, Nunzio Cappuccio

Publication date: 21 December 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11577/3099503

zbMATH Keywords

unit root testslocal-to-finite variance data generating process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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