Smoothing Local-to-Moderate Unit Root Theory
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. Thes...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1818 https://ink.library.smu.edu.sg/context/soe_research/article/2817/viewcontent/Smoothing_Local_to_Moderate_Unit_Root_Theory_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |