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  • Search: subject:"large K asymptotics"
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Year of publication
Subject
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Deterministic trends 1 divergent critical values 1 large K asymptotics 1 test failure 1 unit root distributions 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Phillips, Peter C.B. 1
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Cowles Foundation for Research in Economics, Yale University 1
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Cowles Foundation Discussion Papers 1
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RePEc 1
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New Unit Root Asymptotics in the Presence of Deterministic Trends
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998
Recent work by the author (1998) has shown that stochastic trends can be validly represented in empirical regressions in terms of deterministic functions of time. These representations offer an alternative mechanism for modelling stochastic trends. It is shown here that the alternate...
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