Unit root tests and dramatic shifts with infinite variance processes

被引：0
|
作者：
Martins, Luis F. [1 ]
机构：
[1] ISCTE Business Sch, Dept Quantitat Methods, Lisbon, Portugal
来源：
JOURNAL OF APPLIED STATISTICS | 2009年 / 36卷 / 05期
关键词：
unit root; stable processes; partial sums; limit distributions; empirical size and power; CONSISTENT COVARIANCE-MATRIX; TIME-SERIES REGRESSION; WEAK-CONVERGENCE; HYPOTHESIS; STATIONARITY; ERRORS; HETEROSKEDASTICITY; COINTEGRATION; BREAK; NULL;
D O I：
10.1080/02664760802554321
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页码：547 / 571
页数：25
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