A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations

DOI10.1016/j.spl.2017.02.032zbMath1379.60035OpenAlexW2595684476MaRDI QIDQ2405940

Stelios Arvanitis

Publication date: 28 September 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.02.032

zbMATH Keywords

unit root processmartingale transformDickey-Fuller testLévy stable processMarcinkiewicz LLNslowly varying sequences

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Unit roots test: spatial model with long memory errors ⋮ Portmanteau-type test for unit root with heavy-tailed noise

Cites Work

• Estimation de la transition de probabilité d'une chaîne de Markov Doeblin-recurrente. Étude du cas du processus autoregressif général d'ordre 1
• Subexponentiality of the product of independent random variables
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• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• A note on unit root tests with heavy-tailed GARCH errors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Lévy Processes and Stochastic Calculus
• Time Series with Roots on or Near the Unit Circle
• On a Theorem of Breiman and a Class of Random Difference Equations
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