Diagnostic Checking in Linear Processes With Infinite Variance (2007)
Walter Krämer, Walter Kr Amer, Ralf Runde
We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable...
Testing for Unit Roots in the Context of Misspecified Logarithmic Random Walks (2007)
Walter Krämer, Walter Kr Amer, Laurie Davies
Testing for unit roots has been among the most heavily researched topics in Econometrics for the last quarter of a century. Much less researched is the equally important issue of the appropriate...
We derive the limiting null distributions of the standard and OLS--based CUSUM-tests for structural change of the coefficients of a linear regression model in the context of long memory disturbances....
Walter Kr Amer, Francesc Marmol
This paper is concerned with testing the null hypothesis of no cointegration among I(1)--variables when the cointegration residuals are I(d) with 0! d! 1.