Time series with unit roots and infinite-variance disturbances

DOI10.1016/S0893-9659(98)00082-2zbMATH Open0939.62093MaRDI QIDQ1808615FDOQ1808615

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

Publication date: 3 July 2000

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

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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)

Cites Work

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

Cited In (11)

• Title not available (Why is that?)
• Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• A Note on Unit Root Tests with Infinite Variance Noise
• Time Series Regression with a Unit Root
• Simulation analysis of threshold autoregressive unit root tests
• A class of simple distribution-free rank-based unit root tests
• Quantile inference for nonstationary processes with infinite variance innovations

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