Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...