Fiorio, Carlo V.; Hajivassiliou, Vassilis A.; Phillips, … - In: Econometrics Journal 13 (2010) 2, pp. 271-289
This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating...