A Note on Unit Root Tests with Infinite Variance Noise

被引：17
|
作者：
Samarakoon, D. M. Mahinda [1 ]
Knight, Keith [1 ]
机构：
[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada
来源：
ECONOMETRIC REVIEWS | 2009年 / 28卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Infinite variance; M-estimators; Stable laws; Unit roots; HEAVY-TAILED OBSERVATIONS; TIME-SERIES REGRESSION; STOCK RETURNS; AUTOREGRESSIVE MODELS; SPECULATIVE PRICES; EMPIRICAL-EVIDENCE; EXCHANGE-RATES; LIMIT THEORY; RANK-TESTS; ERRORS;
D O I：
10.1080/07474930802458638
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In recent years, a number of authors have considered extensions of classical unit root tests to cases where the process is driven by infinite variance innovations, as well as considering their asymptotic properties. Unfortunately, these extensions are typically inefficient as they do not exploit the dynamics of the infinite variance process. In this article, we consider Dickey-Fuller-type tests based on M-estimators and develop the asymptotic theory for these estimators and resulting test statistics.
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页码：314 / 334
页数：21
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