UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

DOI10.1017/S0266466616000037zbMath1441.62229MaRDI QIDQ4637610

Iliyan Georgiev, A. M. Robert Taylor, Giuseppe Cavaliere

Publication date: 25 April 2018

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Related Items (12)

On robust testing for trend ⋮ Unit roots test: spatial model with long memory errors ⋮ A family of nonparametric unit root tests for processes driven by infinite variance innovations ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Robust inference in AR-G/GARCH models under model uncertainty ⋮ Portmanteau-type test for unit root with heavy-tailed noise ⋮ NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS ⋮ Robust inference in conditionally heteroskedastic autoregressions ⋮ Testing for strict stationarity in a random coefficient autoregressive model

Uses Software

• robustbase

Cites Work

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