Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/53798
Title: | The LAD test of a unit root null with fat tailed innovations |
Authors: | Shardyko, V. |
Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика |
Issue Date: | 2003 |
Publisher: | Минск, БГУ |
Abstract: | This paper considers the least absolute deviations (LAD) test of a unit root null without drift when distributions of innovations are fat tailed. The limiting distributions of the test statistics are expressed in terms of functional of a standard Brownian motion. Percentiles are tabulated. A Monte Carlo experiment indicates that the LAD tests dominate the Dickey-Fuller tests when innovations are fat tailed, except distributions with extremely heavy tails such as Cauchy. |
URI: | http://elib.bsu.by/handle/123456789/53798 |
Appears in Collections: | Chapter 2. STATISTICAL PATTERN RECOGNITION AND DATA ANALYSIS |
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