Pdf Time Series Models Unit Roots And Cointegration Researchgate
Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. 1999, Unit Roots, Cointegration, and Structural Change This paper discusses unit roots and cointegration in time series analysis, focusing on the implications of weak and strict stationarity for Gaussian processes. It explores parameter considerations before and after establishing stationarity, detailing conditions for ARMA models, and providing insights into non-stationary processes. Additionally, the work highlights the distinctions between trend stationary and difference stationary processes, emphasizing challenges in unit root testing and the role of deterministic regressors.
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 1997
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Academia.edu No Longer Supports Internet Explorer. To Browse Academia.edu And
Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. 1999, Unit Roots, Cointegration, and Structural Change This paper discusses unit roots and cointegration in time series analysis, focusing on the implications of weak and strict stationarity for Gaussian processes. It explores...
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 1997
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 1997
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