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.
- Asymptotic distribution
- Stable non-Gaussian distribution
- Time series with infinite-variance disturbances
- Unit root test