STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME

By João Nicolau. Econometric Theory, 2002

79 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/39059d24710806ab077dcd779be98c35b41edecd

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In Economics and Econometrics

1. Fang Xu
2. Giuseppe Cavaliere
3. Taylor Grant
4. Matthew J. Lebo
5. Alan M. Taylor
6. Matei Demetrescu
7. Robert J. Taylor
8. Peter C. B. Phillips

In Finance

1. Fang Xu
2. Giuseppe Cavaliere
3. Taylor Grant
4. Matthew J. Lebo
5. Alan M. Taylor

Citations in the corpus

• Error Correction Methods with Political Time Series (2016, methodology): “Following Nicolau (2002), we simulate unit-roots that bounce back as they near upper or lower thresholds.22 We explored the effects of tighter bounds, longer series, series with more variance, and models with additional independent variables.”
• Testing for unit roots in bounded time series (2014, background): “Similarly, the ADF t,MZt andMSB tests are also over-sized, with size exceeding 14%, 13% and 19%, respectively.10 Hence, because of the lower bound at zero, on the basis of standard unit 8An exception is Nicolau (2002).”