New tests for unit roots in autoregressive processes with possibly infinite variance errors
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DOI10.1016/S0167-7152(99)00031-0zbMATH Open0947.62057MaRDI QIDQ1962136FDOQ1962136
Authors: Yanyan Li 
Publication date: 30 January 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
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Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Time series in the time domain
- Unit root tests for time series with outliers
- Robust Rank Tests of the Unit Root Hypothesis
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- M-estimation for autoregression with infinite variance
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Recursive mean adjustment in time-series inferences
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- Inference for Near-Integrated Time Series With Infinite Variance
- Title not available (Why is that?)
- UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
Cited In (15)
- A robust sign test for panel unit roots under cross sectional dependence
- Unit root testing in integer-valued AR(1) models
- An invariant sign test for random walks based on recursive median adjustment
- Testing for unit root processes in random coefficient autoregressive models
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- Unit root tests and dramatic shifts with infinite variance processes
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- A Note on Unit Root Tests with Infinite Variance Noise
- Unit root bootstrap tests under infinite variance
- Robust inference for near-unit root processes with time-varying error variances
- Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
- Quantile inference for nonstationary processes with infinite variance innovations
- Title not available (Why is that?)
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