Limit theory for mildly integrated process with intercept

Limit theory for mildly integrated process with intercept

Some asymptotic results are given for first-order autoregressive (AR(1)) time series with two features: (i). a nonzero constant intercept (ii). a root moderately deviating from unity. Both stationary and explosive sides are studied. It is shown that the inclusion of intercept will change drastically...

Full description

Saved in:
Bibliographic Details
Main Author: FEI, Yijie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Autoregression
Moderate deviation from unity
Intercept
Limit theory
Bubble
Economics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2169
https://ink.library.smu.edu.sg/context/soe_research/article/3169/viewcontent/limit_theory.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2169
https://ink.library.smu.edu.sg/context/soe_research/article/3169/viewcontent/limit_theory.pdf

Similar Items