A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations (Q2405940)
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scientific article; zbMATH DE number 6782083
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| English | A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations |
scientific article; zbMATH DE number 6782083 |
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A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations (English)
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28 September 2017
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unit root process
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Dickey-Fuller test
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martingale transform
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Lévy stable process
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Marcinkiewicz LLN
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slowly varying sequences
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0.8116142749786377
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0.80987548828125
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0.7946773767471313
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0.7888836860656738
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