A Note on Unit Root Tests with Infinite Variance Noise
针对无限方差创新驱动的过程，提出了基于M估计量的Dickey-Fuller型单位根检验，并推导了估计量和检验统计量的渐近性质，解决了现有扩展方法效率低下的问题。
In recent years, a number of authors have considered extensions of classical unit root tests to cases where the process is driven by infinite variance innovations, as well as considering their asymptotic properties. Unfortunately, these extensions are typically inefficient as they do not exploit the dynamics of the infinite variance process. In this article, we consider Dickey–Fuller-type tests based on M-estimators and develop the asymptotic theory for these estimators and resulting test statistics.