Let Yt satisfy the stochastic difference equation Yt=Σ j=1 pα jYt-j+Σ j=1 qθ jet-j+et, for t = 1,2,..., where et are independent and identically distributed random variables with mean zero and ...
This is a preview. Log in through your library . Abstract This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting ...
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