UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS

Author:

Ahn Sung K.,Fotopoulos Stergios B.,He Lijian

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Cited by 19 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Portmanteau-type test for unit root with heavy-tailed noise;Journal of Statistical Planning and Inference;2022-05

2. Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors;Annals of the Institute of Statistical Mathematics;2018-06-14

3. Unit Root Tests and Heavy-Tailed Innovations;Journal of Time Series Analysis;2017-03-27

4. Semiparametrically Optimal Hybrid Rank Tests for Unit Roots;SSRN Electronic Journal;2017

5. Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions;Methodology and Computing in Applied Probability;2016-05-11

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