Time Series with Roots on or Near the Unit Circle

Ngai Hang Chan

doi:10.1007/978-3-540-71297-8_30

Time Series with Roots on or Near the Unit Circle

^*Corresponding author for this work

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

Abstract

This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research. © Springer-Verlag Berlin Heidelberg 2009.

Original language	English
Title of host publication	Handbook of Financial Time Series
Editors	Torben G. Andersen , Richard A. Davis, Jens-Peter Kreiß, Thomas Mikosch
Place of Publication	Berlin, Heidelberg
Publisher	Springer
Pages	695-707
ISBN (Electronic)	978-3-540-71297-8
ISBN (Print)	978-3-540-71296-1, 978-3-662-51837-3
DOIs	https://doi.org/10.1007/978-3-540-71297-8_30
Publication status	Published - 2009
Externally published	Yes

Bibliographical note

Information for this record is supplemented by the author(s) concerned.

Research Keywords

Unit Circle
Unit root
Unit root test
Empirical likelihood
Less Square Estimate

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10.1007/978-3-540-71297-8_30

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title = "Time Series with Roots on or Near the Unit Circle",

abstract = "This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research. {\textcopyright} Springer-Verlag Berlin Heidelberg 2009.",

keywords = "Unit Circle, Unit root, Unit root test, Empirical likelihood, Less Square Estimate",

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doi = "10.1007/978-3-540-71297-8_30",

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Time Series with Roots on or Near the Unit Circle. / Chan, Ngai Hang.
Handbook of Financial Time Series. ed. / Torben G. Andersen ; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch. Berlin, Heidelberg: Springer , 2009. p. 695-707.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

TY - CHAP

T1 - Time Series with Roots on or Near the Unit Circle

AU - Chan, Ngai Hang

N1 - Information for this record is supplemented by the author(s) concerned.

PY - 2009

Y1 - 2009

N2 - This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research. © Springer-Verlag Berlin Heidelberg 2009.

AB - This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research. © Springer-Verlag Berlin Heidelberg 2009.

KW - Unit Circle

KW - Unit root

KW - Unit root test

KW - Empirical likelihood

KW - Less Square Estimate

U2 - 10.1007/978-3-540-71297-8_30

DO - 10.1007/978-3-540-71297-8_30

M3 - RGC 12 - Chapter in an edited book (Author)

SN - 978-3-540-71296-1

SN - 978-3-662-51837-3

SP - 695

EP - 707

BT - Handbook of Financial Time Series

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A2 - Davis, Richard A.

A2 - Kreiß, Jens-Peter

A2 - Mikosch, Thomas

PB - Springer

CY - Berlin, Heidelberg

ER -

Time Series with Roots on or Near the Unit Circle

Abstract

Bibliographical note

Research Keywords

Access Output

Other Access Options

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