Conventional Inference under Nonstationary Heavy Tailed Fractional Processes & Arrays

Ioannis Kasparis
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Ioannis Kasparis: University of Cyprus

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Abstract: Existing regression inference methods for nonstationary heavy tailed data are largely limited to unit roots tests. Functional central limit theorems (FCLTs), which are commonly used for the asymptotic analysis of nonstationary models, are inapplicable to nonstationary data characterized by a memory parameter $d

Date: 2026-10
New Economics Papers: this item is included in nep-ets and nep-inv
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