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A Primer for Unit Root TestingDependence and Related Concepts

A Primer for Unit Root Testing: Dependence and Related Concepts [This chapter introduces a number of concepts and models that have in common the central concern of characterising the dependence in a stochastic process. Intuitively we are interested in whether what happens at time t has been affected by what happened before that time, sometimes referred to the ‘memory’ of the process. In an economic context, the more usual situation is that stochastic processes have memory to some degree and our interest is in assessing the extent of that memory. This is important for the generalisation of the central limit theorem (CLT), see Chapter 4, Section 4.2.3, and the functional CLT, see Chapter 6, Section 6.6.1.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Primer for Unit Root TestingDependence and Related Concepts

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

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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
85 –104
DOI
10.1057/9780230248458_3
Publisher site
See Chapter on Publisher Site

Abstract

[This chapter introduces a number of concepts and models that have in common the central concern of characterising the dependence in a stochastic process. Intuitively we are interested in whether what happens at time t has been affected by what happened before that time, sometimes referred to the ‘memory’ of the process. In an economic context, the more usual situation is that stochastic processes have memory to some degree and our interest is in assessing the extent of that memory. This is important for the generalisation of the central limit theorem (CLT), see Chapter 4, Section 4.2.3, and the functional CLT, see Chapter 6, Section 6.6.1.]

Published: Nov 12, 2015

Keywords: Poisson Process; Central Limit Theorem; Related Concept; Unit Root Test; Markov Property

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