A note on the limit theory of a Dickey–Fuller unit root test with heavy tailed innovations-Reference-Cited by-同舟云学术

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A note on the limit theory of a Dickey–Fuller unit root test with heavy tailed innovations

Published:2017-07 Issue: Volume:126 Page:198-204
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Arvanitis Stelios^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference19 articles.

1. Lévy Processes and Stochastic Calculus;Applebaum,2009

2. Regular Variation;Bingham,1992

3. Time series with roots on or near the unit circle;Chan,2009

4. On the first-order autoregressive process with infinite variance;Chan;Econometric Theory,1989

5. Inference for unit-root models with infinite variance GARCH errors;Chan;Statist. Sinica,2010

Cited by 4 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. Variation of Drinking Water Consumption Due to the Health Emergency of SARS-CoV-2 Through Dynamic Modeling in Macas City, Amazon from Ecuador;Information and Communication Technologies;2021

3. Influence of Data Sampling Frequency on Household Consumption Load Profile Features: A Case Study in Spain;Sensors;2020-10-23

4. Unit roots test: Spatial model with long memory errors;Statistics & Probability Letters;2018-09

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