Exploiting infinite variance through dummy variables in nonstationary autoregressions

DOI10.1017/S0266466613000030MaRDI QIDQ4979495zbMATH OpenFDO

Authors Giuseppe Cavaliere, Iliyan Georgiev

Publication date 23 June 2014

Published in Econometric Theory (Search for Journal in Brave)

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Note on Unit Root Tests with Infinite Variance Noise
• A bivariate stable characterization and domains of attraction
• Automatic selection of indicators in a fully saturated regression
• Discussion: The forward search: theory and data analysis
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Limit theory for moderate deviations from a unit root
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• M-estimation for autoregression with infinite variance
• Rank tests of unit root hypothesis with infinite variance errors
• Robust inference in autoregressions with multiple outliers
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• The empirical process of autoregressive residuals
• Time Series Regression with a Unit Root
• Unimodality of infinitely divisible distribution functions of class L
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Weighted empirical processes in dynamic nonlinear models.

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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