New tests for unit roots in autoregressi
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Dong Wan Shin; Beong Soo So
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Article
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1999
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Elsevier Science
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English
β 118 KB
For autoregressive processes with possibly inΓΏnite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for ΓΏnite variance innovations and for inΓΏnite variance innovations. The test statistics are the pivotal stat