Time series with unit roots and infinite-variance disturbances

DOI10.1016/S0893-9659(98)00082-2MaRDI QIDQ1808615zbMATH OpenFDO

Authors 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)

Recommendations

• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• A Note on Unit Root Tests with Infinite Variance Noise

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

Cited in

(11)

• Quantile inference for nonstationary processes with infinite variance innovations
• Simulation analysis of threshold autoregressive unit root tests
• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• A class of simple distribution-free rank-based unit root tests
• Time Series Regression with a Unit Root
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• scientific article; zbMATH DE number 1471877 (Why is no real title available?)
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• A Note on Unit Root Tests with Infinite Variance Noise

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