English, Article edition: Unit root tests and dramatic shifts with infinite variance processes Luis Martins

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Bookmark: http://trove.nla.gov.au/version/50315
Physical Description
  • article
Language
  • English

Edition details

Title
  • Unit root tests and dramatic shifts with infinite variance processes
Author
  • Luis Martins
Physical Description
  • article
Notes
  • 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.
  • unit root, stable processes, partial sums, limit distributions, empirical size and power,
  • RePEc:taf:japsta:v:36:y:2009:i:5:p:547-571
Language
  • English
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