
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is twofold. First, we derive the asymptotic null distribution of the familiar augmented DickeyFuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...