Subsampling unit root tests for heavy-tailed observations

DOI10.1023/B:MCAP.0000012416.28866.C5MaRDI QIDQ1431346zbMATH OpenOpenAlexFDO

Authors Agnieszka Jach, Piotr Kokoszka

Publication date 27 May 2004

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:mcap.0000012416.28866.c5

zbMATH Keywords

tablesheavy tailsstable distributionsubsamplingunit root

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Subsampling procedures for a heavy-tailed unit root test with structural change
• Subsampling cointegration tests in heavy-tailed observation
• Unit root tests and heavy-tailed innovations
• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
• Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
• scientific article; zbMATH DE number 5010397
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Unit root testing in the presence of heavy-tailed GARCH errors
• A note on unit root tests with heavy-tailed GARCH errors

Cited in

(14)

• Testing for bubbles and change-points
• Subsampling procedures for a heavy-tailed unit root test with structural change
• Subsampling cointegration tests in heavy-tailed observation
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
• Overlapping subsampling and invariance to initial conditions
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• Portmanteau-type test for unit root with heavy-tailed noise
• Subsampling tests for the mean change point with heavy-tailed innovations
• A Note on Unit Root Tests with Infinite Variance Noise
• Unit root tests and heavy-tailed innovations
• Unit root bootstrap tests under infinite variance
• Subsampling the mean of heavy‐tailed dependent observations

This page was built for publication: Subsampling unit root tests for heavy-tailed observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1431346)