๐”– Bobbio Scriptorium
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The Variance Ratio Test with Stable Paretian Errors

โœ Scribed by Y. K. TSE; X. B. ZHANG


Book ID
108549555
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
164 KB
Volume
23
Category
Article
ISSN
0143-9782

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