Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors

DOI10.1007/s10463-006-0060-xzbMath1122.62010MaRDI QIDQ2457963

Nunzio Cappuccio, Diego Lubian

Publication date: 24 October 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0060-x

zbMATH Keywords

asymptotic distributions; stable distributions; unit root tests; stationarity tests; size distortions

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, The power of unit root tests under local-to-finite variance errors, Monitoring persistence change in infinite variance observations, A Note on Unit Root Tests with Infinite Variance Noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing the null of stationarity for multiple time series
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Deciding between I(1) and I(0)
• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Point processes, regular variation and weak convergence
• On the Theory of Testing for Unit Roots in Observed Time Series
• Long-Term Memory in Stock Market Prices
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Time Series Regression with a Unit Root
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties