Time series with unit roots and infinite-variance disturbances

DOI10.1016/S0893-9659(98)00082-2zbMath0939.62093MaRDI QIDQ1808615

Svetlozar T. Rachev, Stefan Mittnik, Jeong-Ryeol Kim

Publication date: 3 July 2000

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

unit root testinfinite-variance disturbancesstable non-Gaussian distribution

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) Asymptotic properties of parametric tests (62F05)

Related Items

A Note on Unit Root Tests with Infinite Variance Noise, Simulation analysis of threshold autoregressive unit root tests, Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, A class of simple distribution-free rank-based unit root tests, Quantile inference for nonstationary processes with infinite variance innovations

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Point processes, regular variation and weak convergence
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root