scientific article; zbMATH DE number 1471877

MaRDI QIDQ4488964zbMATH OpenFDO

Authors Jeong-Ryeol Kim, Svetlozar T. Rachev, Stefan Mittnik

Publication date 11 June 2001

zbMATH Keywords

econometricsstatistical inferenceasymptotic resultsunit root testsindex of stabilitystable Paretian modelstail thickness of distribution

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(5)

• Bimodal \(t\)-ratios: the impact of thick tails on inference
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• Smoothed estimates for models with random coefficients and infinite variance innovations
• Exact confidence sets and goodness-of-fit methods for stable distributions
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations

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