Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance

Ke-Ang Fu, Jie Li and Xiao-Rong Yang

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 11, 3158-3167

Abstract: In this article, the unit root test for the AR(1) model is discussed, under the condition that the innovations of the model are in the domain of attraction of the normal law with possibly infinite variances. By using residual bootstrap with sample size m

Date: 2016
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DOI: 10.1080/03610926.2014.901362

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