Title of article
Time series with unit roots and infinite-variance disturbances Original Research Article
Author/Authors
S.T. Rachev، نويسنده , , S. Mittnik، نويسنده , , J.-R. Kim، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
69
To page
74
Abstract
We derive asymptotic distributions of the OLS estimators of μ and β, as well as t-statistics for the unit root test, H0 : β = 1 in the first-order autoregressive model yt = μ+βyt−1+ut, when disturbances, ut, follow a stable Paretian distribution with infinite variance.
Keywords
Time series with infinite-variance disturbances , Unit root test , Asymptotic distribution , Stable non-Gaussian distribution
Journal title
Applied Mathematics Letters
Serial Year
1998
Journal title
Applied Mathematics Letters
Record number
896697
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