A Note on Some Properties of STUR Processes*

Gawon Yoon

Oxford Bulletin of Economics and Statistics, 2006, vol. 68, issue 2, 253-260

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.

Date: 2006
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