New tests for unit roots in autoregressive processes with possibly infinite variance errors

Dong Wan Shin, Beong Soo So

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

For autoregressive processes with possibly infinite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for finite variance innovations and for infinite variance innovations. The test statistics are the pivotal statistics of modified M-estimators in which the signs of regressors rather than the regressors themselves are used as instrumental variables in estimating unit roots. A Monte-Carlo experiment compares the proposed tests favorably with tests based on the OLSE and tests based on the M-estimators for several innovations.

Original languageEnglish
Pages (from-to)387-397
Number of pages11
JournalStatistics and Probability Letters
Volume44
Issue number4
DOIs
StatePublished - 1 Oct 1999

Keywords

  • Infinite variance error
  • M-estimation
  • Unit root test

Fingerprint

Dive into the research topics of 'New tests for unit roots in autoregressive processes with possibly infinite variance errors'. Together they form a unique fingerprint.

Cite this