Unit Root and Cointegrating Limit Theory When Initialization is in the Infinite Past

• Main Authors: Peter C. B. PHILLIPS, Magdalinos, T.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Time-series regression; Statistical - inference; Integrated Processes; Weak - Convergence; Tests; Asymptotics Systems; Trend; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1811
• Institution: Singapore Management University

It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory, producing a faster rate of convergence, a limiting Cauchy distribution f...