STOCHASTIC UNIT ROOT MODELS

DOI10.1017/S0266466606060518MaRDI QIDQ3434190zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, C. Y. Robert

Publication date 23 April 2007

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466606060518

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic theory for a stochastic unit root model
• scientific article; zbMATH DE number 1522732
• An introduction to stochastic unit-root processes
• A multivariate stochastic unit root model with an application to derivative pricing
• Unit roots tests and SARIMA models
• The stochastic unit root model and fractional integration: An extension to the seasonal case
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Using stochastic growth models to understand unit roots and breaking trends

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A simple nonlinear time series model with misleading linear properties
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• An introduction to stochastic unit-root processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Basic properties of strong mixing conditions. A survey and some open questions
• scientific article; zbMATH DE number 3860263 (Why is no real title available?)
• Memory and infrequent breaks
• Threshold Cointegration

Cited in

(10)

• Testing for observation-dependent regime switching in mixture autoregressive models
• Hybrid stochastic local unit roots
• Heavy tailed time series with extremal independence
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Duration time-series models with proportional hazard
• REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
• Stochastic specification and the international GDP series
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS
• Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price

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