Near-integration and deterministic trends

DOI10.1007/BF02925216zbMath0936.62098MaRDI QIDQ1370197

Svend Hylleberg, Niels Haldrup

Publication date: 18 May 2000

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

time seriesBrownian motionasymptotic theoryunit rootsOrnstein-Uhlenbeck processesnear integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model ⋮ Mirror image distributions and the Dickey-Fuller regression with a maintained trend ⋮ A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence

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