Nelson, Charles R. (contributor); Zivot, Eric (contributor); … - 2001 - [Elektronische Ressource]
outside the unit circle.
Here, innovations do not have permanent effects in the periods between shifts in the growth rate
of … variance of changes in
t
y given by the
stochastic trend,
t
RT , is smaller rather than larger. The variance of innovations … and 5.0
11
=p , the test
rejects with a 31% frequency. This is because the variance of innovations to the stochastic trend …