Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing

Mikihito Nishi, 幹仁 西, Eiji Kurozumi and 英司 黒住

No 2022-02, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: random coefficient model; local to unity; moderate deviation; LBI test; power envelope (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2022-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2022-02

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