Asymptotic inference in time series regressions with a unit root and infinite variance errors

Journal of Statistical Planning and Inference

Volumn 116, Issue 1, 2003, Pages 277-303

  Callegari, Francesca ^a   Cappuccio, Nunzio ^a   Lubian, Diego ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b UNIVERSITY OF VERONA   (Italy)

Author keywords

Infinite variance; Local to finite variance; Stable processes; Time series regressions with a unit root; Unit root tests

Indexed keywords

EID: 0038647311     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(02)00236-7     Document Type: Article

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