TY - JOUR
T1 - Econometric modeling in the presence of heavy-tailed innovations
T2 - A survey of some recent advances
AU - Rachev, Svetlozar T.
AU - Kim, Jeong Ryeol
AU - Mittnik, Stefan
PY - 1997
Y1 - 1997
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0001395643&partnerID=8YFLogxK
U2 - 10.1080/15326349708807454
DO - 10.1080/15326349708807454
M3 - Review article
AN - SCOPUS:0001395643
VL - 13
SP - 841
EP - 866
JO - Communications in Statistics. Part C: Stochastic Models
JF - Communications in Statistics. Part C: Stochastic Models
SN - 0882-0287
IS - 4
ER -