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《Mathematics in Practice and Theory》 2018-18
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Testing for a Unit Root Under Stable Distribution with Scale Changes

ZHANG Shou-gang;BAI Zhi-lin;JIN Hao;School of Science,Xi'an University of Science and Technology;  
This paper investigates the unit root test for α stable distribution noise model with breaks in scale volatility. If the scale changes are present, the asymptotic distribution of conventional DF-type test is obtained under the null hypothesis. It is shown that it is not only the functional of Levy process, but also depends on the location and magnitude of scale changes. Finally, Monte Carlo simulations demonstrate the empirical size has serious distortion caused by presence of scale changes.
【Fund】: 国家自然科学基金(71473194);; 陕西省科技厅科技基金(2013KJXX-40 2018JM1041 2017JM1042);; 陕西省教育厅专项基金(2016JK1500)
【CateGory Index】: O211.61
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