A Note on Some Properties of STUR Processes*

Gawon Yoon

40 citations0/0 files storedOxford Bulletin of Economics and Statistics

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Abstract

Abstract This note presents some properties of the stochastic unit‐root processes developed in Granger and Swanson [Journal of Econometrics (1997) Vol. 80, pp. 35–62] and Leybourne, McCabe and Tremayne [Journal of Business & Economic Statistics (1996) Vol. 14, pp. 435–446] that have not been or only implicitly discussed in the literature.

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References

1998Pitfalls in testing for long run relationships 1998The sample autocorrelations of heavy-tailed processes with applications to ARCH 1997An introduction to stochastic unit-root processes 1996Can Economic Time Series Be Differenced to Stationarity?2003Modeling Dependence and Tails of Financial Time Series 1999Mean Reversion of Real Exchange Rates in High-Inflation Countries

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2020Testing for strict stationarity in a random coefficient autoregressive model 2019Hybrid stochastic local unit roots 2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes

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