A Note on Unit Root Tests with Infinite Variance Noise
From MaRDI portal
Publication:3183724
DOI10.1080/07474930802458638zbMath1172.62027OpenAlexW2091513515MaRDI QIDQ3183724
Keith Knight, D. M. Mahinda Samarakoon
Publication date: 21 October 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802458638
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Related Items
Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations, A family of nonparametric unit root tests for processes driven by infinite variance innovations, Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises, Rank test of unit‐root hypothesis with AR‐GARCH errors, Optimal stable Ornstein-Uhlenbeck regression, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, Quantile inference for nonstationary processes with infinite variance innovations, Portmanteau-type test for unit root with heavy-tailed noise, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors, NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS
Cites Work
- Unnamed Item
- Unnamed Item
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
- M-estimation for autoregression with infinite variance
- Cointegrated processes with infinite variance innovations
- Tests for cointegration with infinite variance errors
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Subsampling unit root tests for heavy-tailed observations
- Statistical inference in regression with heavy-tailed integrated variables
- Time series with unit roots and infinite-variance disturbances
- Maximum likelihood estimators in regression models with infinite variance innovations
- Regression quantiles for unstable autoregressive models
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- The impact of fat-tailed distributions on some leading unit roots tests
- Simple consistent estimators of stable distribution parameters
- Testing for a unit root in time series regression
- Robust Rank Tests of the Unit Root Hypothesis
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Unit Root Quantile Autoregression Inference
- Rank tests of unit root hypothesis with infinite variance errors
