Asymptotic inference in time series regressions with a unit root and infinite variance errors

DOI10.1016/S0378-3758(02)00236-7zbMATH Open1020.62076MaRDI QIDQ1400136FDOQ1400136

Authors: Francesca Callegari, Nunzio Cappuccio, Diego Lubian 

Publication date: 13 August 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Recommendations

• Time series with unit roots and infinite-variance disturbances
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• Inference for Near-Integrated Time Series With Infinite Variance
• A Note on Unit Root Tests with Infinite Variance Noise
• scientific article; zbMATH DE number 5816769

zbMATH Keywords

infinite variancestable processesunit root testslocal-to-finite variancetime series regressions with a unit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Instrumental Variables Regression with Weak Instruments
• Title not available (Why is that?)
• Title not available (Why is that?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A simple general approach to inference about the tail of a distribution
• Hyperbolic distributions in finance
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Time Series Regression with a Unit Root
• Title not available (Why is that?)
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Point processes, regular variation and weak convergence
• Title not available (Why is that?)
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS

Cited In (18)

• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• Title not available (Why is that?)
• Inference for Near-Integrated Time Series With Infinite Variance
• Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
• Monitoring persistence change in infinite variance observations
• Semiparametrically point-optimal hybrid rank tests for unit roots
• The power of unit root tests under local-to-finite variance errors
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
• 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
• Inference in Linear Time Series Models with some Unit Roots
• A Note on Unit Root Tests with Infinite Variance Noise
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• Asymptotic Normality, When Regressors Have a Unit Root
• Unit root bootstrap tests under infinite variance
• Long-Memory Errors in Time Series Regressions with a Unit Root
• A class of simple distribution-free rank-based unit root tests
• Title not available (Why is that?)

This page was built for publication: Asymptotic inference in time series regressions with a unit root and infinite variance errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1400136)