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 -