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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2018
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |