Time series with unit roots and infinite-variance disturbances

被引：10

作者：

Rachev, ST ^{[1
]}

Mittnik, S

Kim, JR

机构：

[1] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

[2] Univ Kiel, Inst Econ & Stat, D-24098 Kiel, Germany

来源：

APPLIED MATHEMATICS LETTERS | 1998年 / 11卷 / 05期

关键词：

time series with infinite-variance disturbances; unit root test; asymptotic distribution; stable non-Gaussian distribution;

D O I：

10.1016/S0893-9659(98)00082-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We derive asymptotic distributions of the OLS estimators of mu and beta, as well as t-statistics for the unit root test, H-0: beta = 1 in the first-order autoregressive model y(t) = mu + beta y(t-1) + u(t), when disturbances, u(t), follow a stable Paretian distribution with infinite variance. (C) 1998 Elsevier Science Ltd. All rights reserved.

引用

页码：69 / 74

页数：6

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