McCabe, B.P.M.; Martin, G.M.; Tremayne, A.R. - Department of Econometrics and Business Statistics, … - 2003
The aim of this paper is to examine the measurement of persistence in a range of time series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time series which, in addition to accommodating the standard I(0) and...
