Testing for a unit root under errors with just barely infinite variance
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Publication:3552865
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Cites work
- A functional central limit theorem for strongly mixing sequences of random variables
- An invariance principle for stationary \(\rho\)-mixing sequences with infinite variance
- Automatic Lag Selection in Covariance Matrix Estimation
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Distribution theory for unit root tests with conditional heteroskedasticity
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Nonparametric tests for unit roots and cointegration.
- On Ibragimov-Iosifescu conjecture for \(\phi\)-mixing sequences
- Time Series Regression with a Unit Root
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Cited in
(10)- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
- Mean-variance cointegration and the expectations hypothesis
- On the Transmission of Memory in Garch‐in‐Mean Models
- Mixing conditions, central limit theorems, and invariance principles: A survey of the literature with some new results on heteroscedastic sequences
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Unit-root detection allowing for measurement error
- Limit theory for a general class of GARCH models with just barely infinite variance
- A Note on Unit Root Tests with Infinite Variance Noise
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