Hybrid stochastic local unit roots
Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2385 https://ink.library.smu.edu.sg/context/soe_research/article/3384/viewcontent/Hybrid_stochastic_local_unit_roots_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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