Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors

DOI10.1007/s10463-006-0060-xzbMath1122.62010MaRDI QIDQ2457963

Nunzio Cappuccio, Diego Lubian

Publication date: 24 October 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0060-x

zbMATH Keywords

asymptotic distributions; stable distributions; unit root tests; stationarity tests; size distortions

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”, Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations, Monitoring persistence change in infinite variance observations, A Note on Unit Root Tests with Infinite Variance Noise

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