Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
Year of publication: |
2008-05
|
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Authors: | Phillips, Peter C.B. ; Magdalinos, Tassos |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Cauchy limit distribution | Cointegration | Distant past initialization | Infinite past initialization | Random orthonormalization | Singular limit theory |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Econometric Theory (December 2009), 25(6): 1682-1715 The price is None Number 1655 31 pages |
Classification: | C22 - Time-Series Models |
Source: |
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