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On the First-Order Autoregressive Process with Infinite Variance

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  • Chan, Ngai Hang
  • Tran, Lanh Tat
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 5 (1989)
    Issue (Month): 03 (December)
    Pages: 354-362

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    Handle: RePEc:cup:etheor:v:5:y:1989:i:03:p:354-362_01

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    Cited by:
    1. K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(6), pages 635-667.
    2. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
    3. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA.
    4. Shin, Dong Wan & So, Beong Soo, 1999. "New tests for unit roots in autoregressive processes with possibly infinite variance errors," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 387-397, October.
    5. Peter C.B. Phillips, 1989. "Time Series Regression with a Unit Root and Infinite Variance Errors," Cowles Foundation Discussion Papers 897R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
    6. Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
    7. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics.
    8. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
    9. Li-Xin Zhang & Xiao-Rong Yang, 2007. "The Limit Distribution of the Bootstrap for the Unit Root Test Statistic when the Residuals are Dependent," Metrika, Springer, vol. 65(2), pages 195-206, February.
    10. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
    11. Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers 8, University of Verona, Department of Economics.
    12. Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics.
    13. Massé, Bruno & Viano, Marie-Claude, 1995. "Explicit and exponential bounds for a test on the coefficient of an AR(1) model," Statistics & Probability Letters, Elsevier, vol. 25(4), pages 365-371, December.
    14. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
    15. Wojciech Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 901-903.
    16. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
    17. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 27 May 2005.
    18. Horváth, Lajos & Kokoszka, Piotr, 2003. "A bootstrap approximation to a unit root test statistic for heavy-tailed observations," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 163-173, April.
    19. Hasan, Mohammad N., 2001. "Rank tests of unit root hypothesis with infinite variance errors," Journal of Econometrics, Elsevier, vol. 104(1), pages 49-65, August.
    20. Vygantas Paulaauskas & Svetlozar Rachev, 2003. "Maximum likelihood estimators in regression models with infinite variance innovations," Statistical Papers, Springer, vol. 44(1), pages 47-65, January.

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