Unit root tests and dramatic shifts with infinite variance processes

DOI10.1080/02664760802554321MaRDI QIDQ3184468zbMATH OpenOpenAlexFDO

Authors Luis Filipe Martins

Publication date 21 October 2009

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760802554321

zbMATH Keywords

empirical size and powerlimit distributionspartial sumsstable processesunit root

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• Unit root tests with a break in innovation variance.
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Testing for a unit root in the presence of a variance shift
• Unit root testing

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Cointegrated processes with infinite variance innovations
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• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
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• Testing stationarity under a permanent variance shift
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Tests for cointegration with infinite variance errors
• Time Series Regression with a Unit Root
• Unit root tests with a break in innovation variance.
• Variance ratio tests of the seasonal unit root hypothesis
• What is an oil shock?

Cited in

(14)

• Testing for a unit root in the presence of a variance shift
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Subsampling procedures for a heavy-tailed unit root test with structural change
• Unit Root Tests under Time-Varying Variances
• A Note on Unit Root Tests with Infinite Variance Noise
• The impact of fat-tailed distributions on some leading unit roots tests
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
• Unit root test with high-frequency data
• Testing for a unit root under stable distribution with scale changes
• Structural changes and unit roots in non-stationary time series
• Bootstrap tests for structural change with infinite variance observations
• Unit root testing

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