{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T01:54:51Z","timestamp":1649037291488},"reference-count":24,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2013,8,13]],"date-time":"2013-08-13T00:00:00Z","timestamp":1376352000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,12]]},"abstract":"<jats:p>We consider estimation and testing in finite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out \u201clarge\u201d innovations, i.e., those exceeding a given threshold. These estimators reflect the common practice of dealing with large residuals by including impulse dummies in the estimated regression. Iterative versions of the dummy-variable estimator are also discussed. We provide conditions on the preliminary parameter estimator and on the threshold that ensure that (i) the dummy-based estimator is consistent at higher rates than the ordinary least squares estimator, (ii) an asymptotically normal test statistic for the unit root hypothesis can be derived, and (iii) order of magnitude gains of local power are obtained.<\/jats:p>","DOI":"10.1017\/s0266466613000030","type":"journal-article","created":{"date-parts":[[2013,8,13]],"date-time":"2013-08-13T12:41:57Z","timestamp":1376397717000},"page":"1162-1195","source":"Crossref","is-referenced-by-count":8,"title":["EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS"],"prefix":"10.1017","volume":"29","author":[{"given":"Giuseppe","family":"Cavaliere","sequence":"first","affiliation":[]},{"given":"Iliyan","family":"Georgiev","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2013,8,13]]},"reference":[{"key":"S0266466613000030_ref16","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511612503","volume-title":"Nonparametric Econometrics","author":"Pagan","year":"1999"},{"key":"S0266466613000030_ref21","doi-asserted-by":"crossref","first-page":"206","DOI":"10.1016\/0047-259X(79)90079-4","article-title":"A bivariate stable characterization and domains of attraction","volume":"9","author":"Resnick","year":"1979","journal-title":"Journal of Multivariate Analysis"},{"key":"S0266466613000030_ref7","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1016\/S0304-4076(01)00050-1","article-title":"Rank tests of unit root hypothesis with infinite variance errors","volume":"104","author":"Hasan","year":"2001","journal-title":"Journal of Econometrics"},{"key":"S0266466613000030_ref13","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4613-0055-7","volume-title":"Weighted Empirical Processes in Dynamic Nonlinear Models","author":"Koul","year":"2002"},{"key":"S0266466613000030_ref23","doi-asserted-by":"crossref","first-page":"317","DOI":"10.1007\/s00180-007-0054-z","article-title":"Automatic selection of indicators in a fully saturated regression","volume":"23","author":"Santos","year":"2008","journal-title":"Computational Statistics"},{"key":"S0266466613000030_ref2","doi-asserted-by":"crossref","first-page":"1625","DOI":"10.1017\/S0266466609990272","article-title":"Robust inference in autoregressions with multiple outliers","volume":"25","author":"Cavaliere","year":"2009","journal-title":"Econometric Theory"},{"key":"S0266466613000030_ref19","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/j.jeconom.2005.08.002","article-title":"Limit theory for moderate deviations from a unit root","volume":"136","author":"Phillips","year":"2007","journal-title":"Journal of Econometrics"},{"key":"S0266466613000030_ref24","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1214\/aop\/1176995474","article-title":"Unimodality of infinitely divisible distributions of class L","volume":"6","author":"Yamazato","year":"1978","journal-title":"Annals of Probability"},{"key":"S0266466613000030_ref3","doi-asserted-by":"crossref","first-page":"354","DOI":"10.1017\/S0266466600012561","article-title":"On the first order autoregressive process with infinite variance","volume":"5","author":"Chan","year":"1989","journal-title":"Econometric Theory"},{"key":"S0266466613000030_ref11","doi-asserted-by":"crossref","first-page":"261","DOI":"10.2307\/3315522","article-title":"Limit theory for autoregressive parameter estimates in an infinite-variance random walk","volume":"17","author":"Knight","year":"1989","journal-title":"Canadian Journal of Statistics"},{"key":"S0266466613000030_ref20","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1017\/CBO9780511493157.008","volume-title":"The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis","author":"Phillips","year":"2007"},{"key":"S0266466613000030_ref8","first-page":"1","volume-title":"The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. 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(2011) Asymptotic Theory for Iterated One-Step Huber-Skip Estimators. Discussion Papers 11\u201329. Department of Economics. 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