Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013
We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out ?large?innovations, i.e., exceeding a given threshold. These estimators reflect the common...
