UNIT ROOT TESTS FOR HEAVY TAILED OBSERVATIONS WITH A CHANGE POINT IN SCALE VOLATILITY

  • College of Science, Xi?an University of Science and Technology, Xi?an, China.
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This paper explores the effects of conventional unit root tests to heavy tailed errors with non-constancy scale volatility. The limiting distribution of the test statistic is derived, depending on the break in scale volatility. The results from simulations indicate that the unit root tests are potentially unreliable in the presence of such behavior and suffer some size distortions, with early negative change points in the scale.

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[BAI Zhilin and JIN Hao. (2017); UNIT ROOT TESTS FOR HEAVY TAILED OBSERVATIONS WITH A CHANGE POINT IN SCALE VOLATILITY Int. J. of Adv. Res. 5 (Jun). 882-887] (ISSN 2320-5407). www.journalijar.com

Bai Zhilin

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Article DOI: 10.21474/IJAR01/4489      
DOI URL: https://dx.doi.org/10.21474/IJAR01/4489

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