Pdf 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 This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might... In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units...
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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 This Paper Provides
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 1997 This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of f...
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