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- W1683706876 abstract "The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes. Simulation results obtained show the test to exhibit a degree of oversizing far in excess of that previously noted for the linear Dickey-Fuller (1979) test." @default.
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- W1683706876 date "2008-07-26" @default.
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- W1683706876 title "Non-linear unit root testing in the presence of heavy-tailed innovation processes" @default.
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