Generalized Local-to-Unity Models

• Main Authors: DOU, Liyu, MÜLLER, Ulrich K.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Continuous time ARMA process; convergence; approximability; Econometrics
• 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
• Institution: Singapore Management University

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...