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| Steve Cook |
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| ''Non-linear unit root testing in the presence of heavy-tailed innovation processes'' |
| ( 2008, Vol. 3 No.38 ) |
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| 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. |
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| Keywords: heavy-tailed distributions |
JEL: C2 - Single Equation Models; Single Variables: General
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| Manuscript Received : Jul 18 2008 | | Manuscript Accepted : Jul 26 2008 |
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