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This article investigates the problem of testing for a unit root in the case that the error, {u_t}, of the model is a strictly stationary, mixing process with just barely infinite variance. Such errors have the property that for every &dgr; such that 0 = &dgr; 2, the moments E|u_t|-super-&dgr; are finite....
Persistent link: https://www.econbiz.de/10005315167