Testing Integration and Cointegration: An Overview.
The paper exposits Wiener distribution theory for I(1) time series as an overview to a special issue on testing integration and cointegration. The behavior of an I(1) series is related to a Wiener process to derive the limiting distribution of its sample mean. Other Wiener processes are related to f...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
1992
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