Least Squares Estimators for Unit Root Processes with Locally Stationary Disturbance
The random walk is used as a model expressing equitableness and the effectiveness of various finance phenomena. Random walk is included in unit root process which is a class of nonstationary processes. Due to its nonstationarity, the least squares estimator (LSE) of random walk does not satisfy asym...
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| Veröffentlicht in: | Advances in Decision Sciences 2012, Vol.2012 (2012), p.1-16-039 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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