TY - JOUR
T1 - Time series with unit roots and infinite-variance disturbances
AU - Rachev, S. T.
AU - Mittnik, S.
AU - Kim, J. R.
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 1998/9
Y1 - 1998/9
N2 - We derive asymptotic distributions of the OLS estimators of μ and β, as well as t-statistics for the unit root test, H0: β = 1 in the first-order autoregressive model yt = μ + βyt-1 + ut, when disturbances, ut, follow a stable Paretian distribution with infinite variance.
AB - We derive asymptotic distributions of the OLS estimators of μ and β, as well as t-statistics for the unit root test, H0: β = 1 in the first-order autoregressive model yt = μ + βyt-1 + ut, when disturbances, ut, follow a stable Paretian distribution with infinite variance.
KW - Asymptotic distribution
KW - Stable non-Gaussian distribution
KW - Time series with infinite-variance disturbances
KW - Unit root test
UR - http://www.scopus.com/inward/record.url?scp=0042546205&partnerID=8YFLogxK
U2 - 10.1016/S0893-9659(98)00082-2
DO - 10.1016/S0893-9659(98)00082-2
M3 - Article
AN - SCOPUS:0042546205
VL - 11
SP - 69
EP - 74
JO - Applied Mathematics Letters
JF - Applied Mathematics Letters
SN - 0893-9659
IS - 5
ER -