We propose a convolution based approach to the simulation of a modified version of a unit root process where the state variable Yt−1 is dependent on the innovation εt. The dependence structure is given by a copula function C. We study by simulation the effect of a negative correlation on the properties of unit roots. We call this process C-UR(1).
Gobbi, F. (2016). Convolution Based Unit Root Processes: A Simulation Approach. INTERNATIONAL JOURNAL OF STATISTICS AND PROBABILITY, 5(6), 22-31 [0.5539/ijsp.v5n6p22].
Convolution Based Unit Root Processes: A Simulation Approach
Gobbi F.
2016-01-01
Abstract
We propose a convolution based approach to the simulation of a modified version of a unit root process where the state variable Yt−1 is dependent on the innovation εt. The dependence structure is given by a copula function C. We study by simulation the effect of a negative correlation on the properties of unit roots. We call this process C-UR(1).
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/11365/1118176