scientific article; zbMATH DE number 1471877

zbMATH Open0962.91065MaRDI QIDQ4488964FDOQ4488964

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

Publication date: 11 June 2001

Title of this publication is not available (Why is that?)

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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)

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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