Generalized Local‐to‐Unity Models

DOI10.3982/ECTA17944zbMath1497.62316OpenAlexW3184203730MaRDI QIDQ5020506

Liyu Dou, Ulrich K. Müller

Publication date: 6 January 2022

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta17944

zbMATH Keywords

convergenceapproximabilitycontinuous time ARMA process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

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