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Publication Detailed Description
Unit root tests and dramatic shifts with infinite variance processes
Journal Title
Journal of Applied Statistics
Year (definitive publication)
2009
Language
English
Country
United Kingdom
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Abstract
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.
Acknowledgements
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Keywords
Unit root,Stable processes,Partial sums,Limit distributions,Empirical size and power
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| SFRH/BD/814/2000 | Fundação para a Ciência e a Tecnologia |
