Unit root inference for non-stationary linear processes driven by infinite variance innovations
Year of publication: |
April 2018
|
---|---|
Authors: | Cavaliere, Giuseppe ; Georgiev, Iliyan ; Taylor, Robert |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 34.2018, 2, p. 302-348
|
Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test |
-
Detecting multiple factors in panel data : an application on the growth of local regions in China
Chen, W. D., (2016)
-
Ayinde, Kayode, (2015)
-
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao, (2020)
- More ...
-
Wild bootstrap of the sample mean in the infite variance case
Cavaliere, Giuseppe, (2013)
-
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions
Cavaliere, Giuseppe, (2013)
-
Testing for unit roots in autoregressions with multiple level shifts
Cavaliere, Giuseppe, (2006)
- More ...