Hybrid Stochastic Local Unit Roots
نویسندگان
چکیده
منابع مشابه
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 → ∞. The second approach allows for stochastic departures from unity, leading to stochastic unit...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3085940