An introduction to stochastic unit-root processes

DOI10.1016/S0304-4076(96)00016-4zbMath0885.62100OpenAlexW1967307515MaRDI QIDQ1367137

Clive W. J. Granger, Norman R. Swanson

Publication date: 3 May 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(96)00016-4

zbMATH Keywords

cointegration doubly stochastic approximate maximum likelihood exact unit roots stochastic unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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