The Asymptotic Properties of Near-Integrated Processes

Date

2002

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Abstract

In this paper, we extend the results about asymptotic normality of AR(1) processes in West[4] and Phillips [3] to Near-integrated processes. We may analyse the power of testing for unit root and cointegration.

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Keywords

Mathematics, Cointegration, Normality, Unit root, Asymptotic distribution, Local asymptotic normality, Econometrics, Statistics, Power (physics)

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URI

https://andeanlibrary.org/handle/123456789/64436

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