Time Series Regression With a Unit Root andthe black pearl
real palyInfinite-Variance Errors
期刊名称： Econometric Theory圣诞节的英文
火锅英语
www hjenglish com作者： P.C.B. Phillips
年份： 1990年
特朗普就职演讲
期号： 第1期日语学习资料
关键词： CiteSeerX;citations;Time ries regression with a unit root and infinite-variance errors;P C B Phillipstribute
夏天英文单词摘要：In [4] Chan and Tran give the limit theory for the least-squares coefficient in a random walk with i.i.d. (identically and independently distributed) errors that are in the domain of attraction of a stable law. This paper discuss their results and provides generalizations to the ca of I(1) process with
阮晔weakly dependent errors who distributions are in the domain of attraction of a stable law. General unit root tests are also studied. It is shown that the miparametric corrections suggested by the author in other work [22] for the finite-variance ca continue to work when the errors have infinite variance. Surprisingly, no modifications to the formulas given in [22] are required. The limit laws are expresd in terms of ratios of quadratic functional of a stable process rather than Brownian motion. The correction
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