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

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

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