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

✍ Scribed by Dong Wan Shin; Beong Soo So

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 118 KB
• Volume: 44
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(99)00031-0

✦ Synopsis

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 statistics of modiÿed M-estimators in which the signs of regressors rather than the regressors themselves are used as instrumental variables in estimating unit roots. A Monte-Carlo experiment compares the proposed tests favorably with tests based on the OLSE and tests based on the M-estimators for several innovations.