Latent local-to-unity models

• 主要作者: Yu, Jun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2021
• 主題: State-space; Local-to-unity; O-U process; Fractional O-U process; Fractional Brownian motion; Fractional integration; Instrumental variable; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_working_paper/3; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=soe_working_paper

This paper proposes a class of state-space models where the state equation is a local-to-unity process. The large sample theory is obtained for the least squares (LS) estimator of the autoregressive (AR) parameter in the AR representation of the model under two sets of conditions. In the first set o...