A Note on Unit Root Tests with Infinite Variance Noise
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Recommendations
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Unit root tests and dramatic shifts with infinite variance processes
- Testing for a unit root under errors with just barely infinite variance
- Rank tests of unit root hypothesis with infinite variance errors
- A family of nonparametric unit root tests for processes driven by infinite variance innovations
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Unit root bootstrap tests under infinite variance
Cites work
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- Cointegrated processes with infinite variance innovations
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimators in regression models with infinite variance innovations
- Rank tests of unit root hypothesis with infinite variance errors
- Regression quantiles for unstable autoregressive models
- Robust Rank Tests of the Unit Root Hypothesis
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Simple consistent estimators of stable distribution parameters
- Stable Paretian models in finance
- Statistical inference in regression with heavy-tailed integrated variables
- Subsampling unit root tests for heavy-tailed observations
- Testing for a unit root in time series regression
- Tests for cointegration with infinite variance errors
- The impact of fat-tailed distributions on some leading unit roots tests
- Time series with unit roots and infinite-variance disturbances
- Unit Root Quantile Autoregression Inference
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
Cited in
(21)- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
- Time series with unit roots and infinite-variance disturbances
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Quantile inference for nonstationary processes with infinite variance innovations
- Portmanteau-type test for unit root with heavy-tailed noise
- Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
- A note on unit root tests with heavy-tailed GARCH errors
- Unit root bootstrap tests under infinite variance
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- Nonstationary linear processes with infinite variance GARCH errors
- Unit root tests and heavy-tailed innovations
- Testing for a unit root under stable distribution with scale changes
- 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
- Optimal stable Ornstein-Uhlenbeck regression
- Inference on nonstationary heavy-tailed AR processes via model selection
- Self-weighted estimation for nonstationary processes with infinite variance GARCH errors
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