Time Series with Roots on or Near the Unit Circle

Ngai Hang Chan ()
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Ngai Hang Chan: Chinese University of Hong Kong, Department of Statistics,

Chapter 30 in Handbook of Financial Time Series, 2009, pp 695-707 from Springer

Abstract: Abstract This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research.

Keywords: Unit Circle; Unit Root; Unit Root Test; Empirical Likelihood; Less Square Estimate (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_30

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DOI: 10.1007/978-3-540-71297-8_30

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