Asymptotic inference in time series regressions with a unit root and infinite variance errors
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- A simple general approach to inference about the tail of a distribution A simple general approach to inference about the tail of a distribution
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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Cited in
(18)- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
- Inference in Linear Time Series Models with some Unit Roots
- Inference for Near-Integrated Time Series With Infinite Variance
- A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Asymptotic Normality, When Regressors Have a Unit Root
- A class of simple distribution-free rank-based unit root tests
- Comment on ``Weak convergence to a matrix stochastic integral with stable processes
- Long-Memory Errors in Time Series Regressions with a Unit Root
- The power of unit root tests under local-to-finite variance errors
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- Monitoring change in persistence against the null of difference-stationarity in infinite variance observations
- Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
- Monitoring persistence change in infinite variance observations
- A Note on Unit Root Tests with Infinite Variance Noise
- Unit root bootstrap tests under infinite variance
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