A Note on Unit Root Tests with Infinite Variance Noise (Q3183724): Difference between revisions

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+UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
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+Normal rank
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+Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
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+Asymptotic inference in time series regressions with a unit root and infinite variance errors
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+Tests for cointegration with infinite variance errors
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+Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
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+M-estimation for autoregression with infinite variance
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+Q5624436
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+Rank tests of unit root hypothesis with infinite variance errors
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+Robust Rank Tests of the Unit Root Hypothesis
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+Normal rank
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+A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
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+Subsampling unit root tests for heavy-tailed observations
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+Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
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+Unit Root Quantile Autoregression Inference
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+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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+Regression quantiles for unstable autoregressive models
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+Simple consistent estimators of stable distribution parameters
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+Statistical inference in regression with heavy-tailed integrated variables
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+The impact of fat-tailed distributions on some leading unit roots tests
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+Cointegrated processes with infinite variance innovations
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+Maximum likelihood estimators in regression models with infinite variance innovations
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+Testing for a unit root in time series regression
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+Q2709279
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+Time series with unit roots and infinite-variance disturbances
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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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