Artigo em revista científica Q4
Unit root tests and dramatic shifts with infinite variance processes
Luís Martins (Martins, L. F.);
Título Revista
Journal of Applied Statistics
Reino Unido
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Web of Science®

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(Última verificação: 2019-04-25 01:12)

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N.º de citações: 0

(Última verificação: 2019-04-25 15:33)

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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.
Unit root,Stable processes,Partial sums,Limit distributions,Empirical size and power
  • Matemáticas - Ciências Naturais
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Referência de financiamento Entidade Financiadora
SFRH/BD/814/2000 Fundação para a Ciência e a Tecnologia