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A note on some properties of STUR processes

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Author Info
Gawon Yoon
Abstract

This note presents possibly hitherto unnoticed, or only implicitly discussed, properties of the stochastic unit root process developed in Granger and Swanson (1997) and Leybourne, McCabe, and Tremayne (1996).

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Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 731.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:731

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Related research
Keywords: stochastic unit root

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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