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

Nikolaos Kourogenis and Nikitas Pittis ()

Journal of Time Series Analysis, 2008, vol. 29, issue 6, 1066-1087

Abstract: Abstract. This article investigates the problem of testing for a unit root in the case that the error, {ut}, of the model is a strictly stationary, mixing process with just barely infinite variance. Such errors have the property that for every δ such that 0 ≤ δ

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2008.00596.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:6:p:1066-1087

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