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含非零初值、局部漂移与趋势的近单位根模型：最小二乘估计与检验的渐近分布AI 解读

This paper considers the distribution of the Dickey-Fuller test in a model with non-zero initial value and drift and trend. We show how stochastic integral representations for the limiting distribution can be derived either from the local to unity approach with local drift and trend or from the continuous record asymptotic results of Sørensen [29]. We also show how the stochastic integral representations can be utilized as the basis for finding the corresponding…

随机微分方程系统的连续记录渐近理论AI 解读

This paper considers estimation based on a set of T + 1 discrete observations, y (0), y ( h ), y (2 h ),…, y ( Th ) = y ( N ), where h is the sampling frequency and N is the span of the data. In contrast to the standard approach of driving N to infinity for a fixed sampling frequency, the current paper follows Phillips [35,36] and Perron [29] and examines the “dual” asymptotics implied by letting h tend to zero while the span N remains fixed. We suggest a way of explicitly…