کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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5129927 | 1489853 | 2017 | 7 صفحه PDF | دانلود رایگان |
We are occupied with the limit theory of the OLSE and of a subsequent Dickey-Fuller test when the unit root process has heavy tailed and dependent innovations that do not possess moments of order α for some αâ0,2. The innovation process has the form of a “martingale-type” transform constructed as a pointwise product between an iid sequence in the domain of attraction of an α stable distribution with a non existing α moment, for some αâ0,2, and a positive scaling mixing sequence that has a slowly varying at infinity truncated α moment. We derive a functional limit theorem with complex rates and limits that depend on Levy α-stable processes. The OLSE remains superconsistent with rate n, and the limiting distribution is a functional of the previous process. When α=2 we recover the standard Dickey-Fuller distribution.
Journal: Statistics & Probability Letters - Volume 126, July 2017, Pages 198-204