Estimation and inference with near unit roots
New methods are developed for identifying, estimating, and performing inference with nonstationary time series that have autoregressive roots near unity. The approach subsumes unit-root (UR), local unit-root (LUR), mildly integrated (MI), and mildly explosive (ME) specifications in the new model for...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2781 https://ink.library.smu.edu.sg/context/soe_research/article/3780/viewcontent/estimation_and_inference_with_near_unit_roots_pvoa_cc_by.pdf |
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| Institution: | Singapore Management University |
| Language: | English |