Autoregressive conditional root model
Year of publication: |
2001-04-01
|
---|---|
Authors: | Rahbek, Anders ; Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Cointegration | Equilibrium correction model | GARCH | Hidden Markov model | Likelihood | Regime switching | STAR model | Stochastic break | Stochastic unit root | Switching regression | Real Exchange Rate | PPP | Unit root hypothesis |
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Autoregressive conditional root model
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