Asymptotic Distribution of a Unit Root Process Under Double Truncation

DOI10.1081/STA-120023267zbMath1157.60317MaRDI QIDQ4420252

Elena Goldman, Hiroki Tsurumi

Publication date: 14 August 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Unit rootDouble truncation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50)

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Cites Work

• Testing efficient market hypothesis for the dollar--sterling gold standard exchange rate 1890--1906: MLE with double truncation
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