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An introduction to stochastic Unit Root Processes

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  • Granger, E.J.
  • Swanson, N.R.

Abstract

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

Suggested Citation

  • Granger, E.J. & Swanson, N.R., 1996. "An introduction to stochastic Unit Root Processes," Papers 4-96-3, Pennsylvania State - Department of Economics.
    • Handle: RePEc:fth:pensta:4-96-3
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    References listed on IDEAS

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    1. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
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    16. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
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    More about this item

    Keywords

    UNIT ROOTS; ECONOMETRICS; COINTEGRATION;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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