Unit root bootstrap tests under infinite variance
DOI10.1111/J.1467-9892.2011.00737.XzbMATH Open1300.62063OpenAlexW1501428385MaRDI QIDQ2930899FDOQ2930899
Authors: Marta Moreno, Juan Romo 
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
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Cites Work
- Bootstrap Unit-Root Tests: Comparison and Extensions
- A bivariate stable characterization and domains of attraction
- Convergence of stochastic processes
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- Some asymptotic theory for the bootstrap
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- Testing For Unit Roots: 1
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- M-estimation for autoregression with infinite variance
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- Title not available (Why is that?)
- Subsampling unit root tests for heavy-tailed observations
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Rank tests of unit root hypothesis with infinite variance errors
- Unit-roots test for time-series data with a linear time trend
- Unit root bootstrap tests for AR (1) models
- Bootstrap tests for unit roots based on LAD estimation
Cited In (16)
- 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
- Robust inference for near-unit root processes with time-varying error variances
- Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
- Robust unit root tests with autoregressive errors
- Evaluation of robinson's (1994) Tests in finite samples
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