Boundary limit theory for functional local to unity regression

Boundary limit theory for functional local to unity regression

This article studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity tha...

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Bibliographic Details
Main Authors: BYKHOVSKAYA, Anna, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Boundary asymptotics
functional local unit root
local to unity
sequential limits
simultaneous limits
unit root model
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2343
https://ink.library.smu.edu.sg/context/soe_research/article/3342/viewcontent/Boundary_Limit_Theory_Functional_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2343
https://ink.library.smu.edu.sg/context/soe_research/article/3342/viewcontent/Boundary_Limit_Theory_Functional_sv.pdf

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