Weak σ-convergence: Theory and applications

Weak σ-convergence: Theory and applications

The concept of relative convergence, which requires the ratio of two time series to converge to unity in the long run, explains convergent behavior when series share commonly divergent stochastic or deterministic trend components. Relative convergence of this type does not necessarily hold when seri...

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Bibliographic Details
Main Authors: KONG, Jianning, PHILLIPS, Peter C. B., SUL, Donggyu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Weak σ-convergence
Asymptotics under misspecified trend regression
Evaporating trend
Cross section dependence
Trend regression
Relative convergence
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2284
https://ink.library.smu.edu.sg/context/soe_research/article/3283/viewcontent/Weak_Convergence_2017_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2284
https://ink.library.smu.edu.sg/context/soe_research/article/3283/viewcontent/Weak_Convergence_2017_pp.pdf

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