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 InfoPaper provided by Pennsylvania State - Department of Economics in its series Papers with number 4-96-3.
Length: 33 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A.
Web page: http://econ.la.psu.edu/
More information through EDIRC
UNIT ROOTS; ECONOMETRICS; COINTEGRATION;
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 &bull Diffusion Processes
- 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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