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Testing for a unit root under errors with just barely infinite variance

✍ Scribed by Nikolaos Kourogenis; Nikitas Pittis


Book ID
111040081
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
228 KB
Volume
29
Category
Article
ISSN
0143-9782

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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