Unit root bootstrap tests under infinite variance
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Publication:2930899
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Cites work
- scientific article; zbMATH DE number 1089177 (Why is no real title available?)
- A Sieve Bootstrap For The Test Of A Unit Root
- A bivariate stable characterization and domains of attraction
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
- Bootstrap tests for unit roots based on LAD estimation
- Bootstrap tests: how many bootstraps?
- Bootstrapping Unit Root Tests for Autoregressive Time Series
- Bootstrapping unit root tests for integrated processes
- Bootstrapping unstable first-order autoregressive processes
- Convergence of stochastic processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- M-estimation for autoregression with infinite variance
- Rank tests of unit root hypothesis with infinite variance errors
- Some asymptotic theory for the bootstrap
- Subsampling unit root tests for heavy-tailed observations
- Testing For Unit Roots: 1
- Testing for Unit Roots: 2
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Time Series Regression with a Unit Root
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Unit root bootstrap tests for AR (1) models
- Unit-roots test for time-series data with a linear time trend
Cited in
(16)- Evaluation of robinson's (1994) Tests in finite samples
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
- Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- A Gini-based unit root test
- Bootstrap tests for unit roots based on LAD estimation
- Testing unit root based on partially adaptive estimation
- A Note on Unit Root Tests with Infinite Variance Noise
- Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
- Robust inference for near-unit root processes with time-varying error variances
- Robust unit root tests with autoregressive errors
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