An introduction to stochastic Unit Root Processes.

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

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Year of publication:	1996
Authors:	Granger, E.J. ; Swanson, N.R.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	UNIT ROOTS \| ECONOMETRICS \| COINTEGRATION

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005664250