t****g
发帖数: 715 | 1 I know this is a long shot: is anyone here who does some work on roots near
unity ?
For example, in Stock's 1991 JME paper "Confidence intervals for the largest
autoregressive root in U.S. macoreconomic time series", the distribution of
the ADF statistic follows a non standard distribution dependent on c, the
local to unity parameter.
I want to replicate tables offered in the paper, which requires simulation
based on the non standard distribution, involoving the Ornstein-Uhlenbeck
process. Stock |
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