The impact of fat-tailed distributions on some leading unit roots tests
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Publication:3591843
DOI10.1080/0266476032000053736zbMath1121.62466MaRDI QIDQ3591843
Saeed M. Heravi, Kerry D. Patterson
Publication date: 11 September 2007
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0266476032000053736
62-XX: Statistics
Related Items
Simulation analysis of threshold autoregressive unit root tests, A Note on Unit Root Tests with Infinite Variance Noise
Cites Work
- A Mathematical Theory of Communication
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
- Time Series Regression with a Unit Root
- "Infinite Variance" and Research Strategy in Time Series Analysis
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