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Time series with unit roots and infinite-variance disturbances

✍ Scribed by S.T. Rachev; S. Mittnik; J.-R. Kim


Book ID
104350100
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
256 KB
Volume
11
Category
Article
ISSN
0893-9659

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New tests for unit roots in autoregressi
✍ Dong Wan Shin; Beong Soo So πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 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