Expectation of the limiting distribution of the LSE of a unit root process

DOI10.5705/SS.2013.299OpenAlexW2314845586MaRDI QIDQ3449015FDOQ3449015

Authors: Shi Jin, Wenbo V. Li 

Publication date: 3 November 2015

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2ddf8a76e37b1e764a19dc48cdf451d7c77098df

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zbMATH Keywords

unit rootnonstationary time seriesintegrated Brownian motiondiscrete Fourier matrixKarhunen-Loéve expansion

Mathematics Subject Classification ID

Statistics (62-XX)

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