An introduction to stochastic unit-root processes
AbstractA class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 80 (1997)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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