UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
研究了当误差项服从α稳定分布（0<α<2）时，几种单位根检验统计量的渐近性质，并通过蒙特卡洛模拟评估了重尾误差下的小样本表现。
This paper considers the asymptotic properties of some unit root test statistics with the errors belonging to the domain of attraction of a symmetric α-stable law with 0 < α < 2. The results obtained can be viewed as a parallel extension of the asymptotic results for the finite-variance case. The test statistics considered are the Dickey-Fuller, the Lagrange multiplier, the Durbin-Watson and Phillips-type modified. Their asymptotic distributions are expressed as functionals of a standard symmetric α-stable Lévy motion. Percentiles of these test statistics are obtained by computer simulation. Asymptotic distributions of sample moments that are part of the test statistics are found to have explicit densities. A small Monte Carlo simulation study is performed to assess small-sample performance of these test statistics for heavy-tailed errors.