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A Primer for Unit Root TestingConcepts of Convergence

A Primer for Unit Root Testing: Concepts of Convergence [The idea of convergence is an important one in econometrics. Quite often it is not possible to determine the finite sample properties of, for example, the mean or distribution, of a random variable, such as an estimator or a test statistic; but in the limit, as the sample size increases, these properties are more easily determined. There is, however, more than one concept of convergence and different concepts may be applicable in different circumstances.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Primer for Unit Root TestingConcepts of Convergence

Part of the Palgrave Texts in Econometrics Book Series
Springer Journals — Nov 12, 2015

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Publisher
Palgrave Macmillan UK
Copyright
© Palgrave Macmillan, a division of Macmillan Publishers Limited 2010
ISBN
978-1-4039-0205-4
Pages
105 –128
DOI
10.1057/9780230248458_4
Publisher site
See Chapter on Publisher Site

Abstract

[The idea of convergence is an important one in econometrics. Quite often it is not possible to determine the finite sample properties of, for example, the mean or distribution, of a random variable, such as an estimator or a test statistic; but in the limit, as the sample size increases, these properties are more easily determined. There is, however, more than one concept of convergence and different concepts may be applicable in different circumstances.]

Published: Nov 12, 2015

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