Convolution Based Unit Root Processes: a Simulation Approach

  •  Fabio Gobbi    


We propose a convolution based approach to the simulation of a modified version of a unit root process where the state variable $Y_{t-1}$ is dependent on the innovation $\varepsilon_t$. 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).

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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