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Export Reference (APA) 
Martins, L. F. (2009). Unit root tests and dramatic shifts with infinite variance processes. Journal of Applied Statistics. 36 (5), 547-571
Export Reference (IEEE) 
L. F. Martins,  "Unit root tests and dramatic shifts with infinite variance processes", in Journal of Applied Statistics, vol. 36, no. 5, pp. 547-571, 2009
Export BibTeX 
@article{martins2009_1766456312014,
	author = "Martins, L. F.",
	title = "Unit root tests and dramatic shifts with infinite variance processes",
	journal = "Journal of Applied Statistics",
	year = "2009",
	volume = "36",
	number = "5",
	doi = "10.1080/02664760802554321",
	pages = "547-571",
	url = "http://www.tandfonline.com/doi/full/10.1080/02664760802554321"
}
Export RIS 
TY  - JOUR
TI  - Unit root tests and dramatic shifts with infinite variance processes
T2  - Journal of Applied Statistics
VL  - 36
IS  - 5
AU  - Martins, L. F.
PY  - 2009
SP  - 547-571
SN  - 0266-4763
DO  - 10.1080/02664760802554321
UR  - http://www.tandfonline.com/doi/full/10.1080/02664760802554321
AB  - A model which explains data that is subject to sudden structural changes of unspecified nature is presented. The structural shifts are generated by a random walk component whose innovations belong to the normal domain of attraction of a symmetric stable law. To test the model against the stationarity case, several non-parametric, and regression-based statistics are studied. The non-parametric tests are a generalization of the variance ratio test to innovations with heavy-tailed distributions. The tests are consistent and shown to have good finite sample size and power properties and are applied to a set of economic variables.
ER  -