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Stochastic Unit Roots Processes - Identification and Application

Author

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  • Jacek Kwiatkowski
  • Magdalena Osinska

    (Nicolaus Copernicus University in Torun, Department of Econometrics and Statistics)

Abstract

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Suggested Citation

  • Jacek Kwiatkowski & Magdalena Osinska, 2004. "Stochastic Unit Roots Processes - Identification and Application," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 221-230.
  • Handle: RePEc:cpn:umkdem:v:6:y:2004:p:221-230
    as

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    File URL: http://www.dem.umk.pl/dem/archiwa/v6/21_Kwiatkowski_Osinska.pdf
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    References listed on IDEAS

    as
    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    3. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 671-696.
    4. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 1-21.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, pages 307-327.
    6. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 41-61, Suppl. De.
    7. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    8. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-198, April.
    9. Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January.
    10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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