Closed forms for asymptotic bias and variance in autoregressive models with unit roots

New tests for unit roots in autoregressi

New tests for unit roots in autoregressive processes with possibly infinite variance errors

✍ Dong Wan Shin; Beong Soo So 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 118 KB

For autoregressive processes with possibly inÿnite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for ÿnite variance innovations and for inÿnite variance innovations. The test statistics are the pivotal stat