Unit root bootstrap tests under infinite variance
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Publication:2930899
DOI10.1111/j.1467-9892.2011.00737.xzbMath1300.62063OpenAlexW1501428385MaRDI QIDQ2930899
Publication date: 20 November 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00737.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations ⋮ A Gini-based unit root test ⋮ Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law ⋮ Robust unit root tests with autoregressive errors
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