UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
无限方差创新驱动的非平稳线性过程的单位根推断
The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by infinite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the infinite variance process. These distributions are shown to coincide with the corresponding results for the case…