Time series with unit roots and infinite-variance disturbances

S. T. Rachev; S. Mittnik; J. R. Kim

doi:10.1016/S0893-9659(98)00082-2

Time series with unit roots and infinite-variance disturbances

S. T. Rachev, S. Mittnik, J. R. Kim

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

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 y_t = μ + βy_t-1 + u_t, when disturbances, u_t, follow a stable Paretian distribution with infinite variance.

Original language	English
Pages (from-to)	69-74
Number of pages	6
Journal	Applied Mathematics Letters
Volume	11
Issue number	5
DOIs	https://doi.org/10.1016/S0893-9659(98)00082-2
State	Published - Sep 1998

Keywords

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

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10.1016/S0893-9659(98)00082-2

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abstract = "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.",

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