Unit root and cointegrating limit theory when the initialization is in the infinite past
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory, producing a faster rate of convergence, a limiting Cauchy distribution f...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
2009.
|
| Subjects: | |
| Online Access: | Get fulltext |