A bootstrap approximation to a unit root test statistic for heavy-tailed observations
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- Agnieszka Jach & Piotr Kokoszka, 2004. "Subsampling Unit Root Tests for Heavy-Tailed Observations," Methodology and Computing in Applied Probability, Springer, vol. 6(1), pages 73-97, March.
- Arvanitis, Stelios, 2017. "A note on the limit theory of a Dickey–Fuller unit root test with heavy tailed innovations," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 198-204.
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- Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
- Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
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Keywords
Bootstrap Heavy tails Stable distribution Unit root;Statistics
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