Generalized Local-to-Unity Models
We introduce a generalization of the popular local‐to‐unity model of time series persistence by allowing for p autoregressive (AR) roots and p − 1 moving average (MA) roots close to unity. This generalized local‐to‐unity model, GLTU(p), induces convergence of the suitably scaled time series to a con...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2717 https://ink.library.smu.edu.sg/context/soe_research/article/3716/viewcontent/beyondLTU2_pv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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