Unit‐Root Asymptotic Theories (I)

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI:

Series: Advanced Texts in Econometrics

 Unit‐Root Asymptotic Theories (I)

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This chapter introduces extended asymptotic theories on the unit root developed in Fuller (1976), Dickey and Fuller (1979), Phillips (1987), and Phillips and Perron (1988) among others. The theories are explained in two steps. The first deals with the elementary but fundamental case where Δxt is i.i.d with zero mean. The second step is given in Chapter 6. It explains more advanced aspects including the case where Δxt is an ARMA.

Keywords: unit-root; asymptotic theories; econometrics

Chapter.  3461 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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