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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| 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 |