Chapter

Unit‐Root Asymptotic Theories (II)

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0006

Series: Advanced Texts in Econometrics

 Unit‐Root Asymptotic Theories (II)

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This chapter brings together three unrelated topics of asymptotic theories. It presents a mathematical analysis of tests on the case where {Δxt} is i.i.d., possibly with a non-zero mean. It explains the mathematics used for the case where {Δxt} is serially correlated. The asymptotic theory of the MA unit-root test is then discussed.

Keywords: unit-root; asymptotic theories; econometrics

Chapter.  6390 words. 

Subjects: Econometrics and Mathematical Economics

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