Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances

Svetlozar T. Rachev, Jeong Ryeol Kim, Stefan Mittnik

Research output: Contribution to journalReview article

7 Scopus citations

Abstract

We discuss the consequences of stable non-Gaussian disturbances for econometric modeling and inference and survey some recent advances. The questions of how to test for structural breaks, unit roots and cointegrating parameters in times series data are treated in more detail.

Original languageEnglish
Pages (from-to)841-866
Number of pages26
JournalCommunications in Statistics. Part C: Stochastic Models
Volume13
Issue number4
DOIs
StatePublished - 1997

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