WANG Xuebiao, WANG Zhiqiang. The Asymptotic Properties of Near-Integrated ProcessesJ. Chinese Journal of Applied Probability and Statistics, 2002, 18(4): 347-350.
Citation:
WANG Xuebiao, WANG Zhiqiang. The Asymptotic Properties of Near-Integrated ProcessesJ. Chinese Journal of Applied Probability and Statistics, 2002, 18(4): 347-350.
WANG Xuebiao, WANG Zhiqiang. The Asymptotic Properties of Near-Integrated ProcessesJ. Chinese Journal of Applied Probability and Statistics, 2002, 18(4): 347-350.
Citation:
WANG Xuebiao, WANG Zhiqiang. The Asymptotic Properties of Near-Integrated ProcessesJ. Chinese Journal of Applied Probability and Statistics, 2002, 18(4): 347-350.
The Asymptotic Properties of Near-Integrated Processes
In this paper, we extend the results about asymptotic normality of AR（1） processes in West4 and Phillips 3 to Near-integrated processes. We may analyse the power of testing for unit root and cointegration.
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