Exploiting infinite variance through dummy variables in nonstationary autoregressions

DOI10.1017/S0266466613000030zbMATH Open1290.62070MaRDI QIDQ4979495FDOQ4979495

Authors: Giuseppe Cavaliere, Iliyan Georgiev 

Publication date: 23 June 2014

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Title not available (Why is that?)
• A bivariate stable characterization and domains of attraction
• Limit theory for moderate deviations from a unit root
• Time Series Regression with a Unit Root
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Weighted empirical processes in dynamic nonlinear models.
• The empirical process of autoregressive residuals
• Discussion: The forward search: theory and data analysis
• M-estimation for autoregression with infinite variance
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Unimodality of infinitely divisible distribution functions of class L
• Robust inference in autoregressions with multiple outliers
• Automatic selection of indicators in a fully saturated regression
• Rank tests of unit root hypothesis with infinite variance errors
• A Note on Unit Root Tests with Infinite Variance Noise

Cited In (4)

• Analysis of the forward search using some new results for martingales and empirical processes
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Asymptotic analysis of iterated 1-step Huber-skip M-estimators with varying cut-offs

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