English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Unit root tests and dramatic shifts with infinite variance processes
Título Revista
Journal of Applied Statistics
Ano (publicação definitiva)
2009
Língua
Inglês
País
Reino Unido
Mais Informação
Web of Science®
Scopus
Google Scholar
Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Unit root,Stable processes,Partial sums,Limit distributions,Empirical size and power
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| SFRH/BD/814/2000 | Fundação para a Ciência e a Tecnologia |
