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Communications in Statistics. Stochastic Models Volume 13, 1997 - Issue 4
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Original Articles

Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances

Svetlozar T. Rachev Department of Statistics and Applied Probability, University of California, Santa Barbara, CA, 93106-3110, U.S.A. E-mail: [email protected]
,
Jeong-Ryeol Kim Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Olshausenstr 40, Kiel, D-24098, Germany E-mail: [email protected]
&
Stefan Mittnik Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Olshausenstr 40, Kiel, D-24098, Germany E-mail: [email protected]
Pages 841-866 | Received 06 Nov 1996, Accepted 14 May 1997, Published online: 21 Mar 2007
 
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Abstract

We discuss the consequences of stable non–Gaussian disturbances for econometric modeling and inference and survey some recent advances. The questions of how to test for structural breaks, unit roots and cointegrating parameters in times series data are treated in more detail

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