Non-linear unit root testing in the presence of heavy-tailed innovation processes

The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes. Simulation results obtained show the test to exhibit a degree of oversizing far in excess of that previously noted for the linear Dickey-Fuller (1979) test.

MoreLess

Year of publication:	2008
Authors:	Cook, Steve
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2008, 38, p. 1-10
Publisher:	AccessEcon
Subject:	heavy-tailed distributions

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094862