Stochastic unit-root processes
Not peer reviewed
MetadataShow full item record
In practice there are many types of processes that have near unit roots and are very difficult to distinguish from standard unit-root processes, given a finite sample. In our thesis we study a particular class of such processes, also called STUR processes. They have a root that is stochastic and varying around unity. We also study standard unit-root processes and cointegration. In cointegration analysis, the first step is to test whether the variables of interest have a unit root, and thus, unit root tests are used in application of cointegration.
PublisherThe University of Bergen
Copyright the Author. All rights reserved