STOCHASTIC UNIT ROOT MODELS
提出一个动态转换模型，包含随机游走和平稳两种状态，其中在随机游走状态停留的时间由内生决定，并研究了该过程的动态、边际分布及持久性。
This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by Y t = μ + Y t −1 + ε t , with stochastic probability π rw ( Y t −1 ), Y t = μ + ε t , with stochastic probability 1 − π rw ( Y t −1 ), where (ε t ) is a strong white noise and π rw is a nondecreasing function. Then, the dynamics of the process ( Y t ), its marginal distribution, and the distribution of the time spent in the unit root regime depend on the pattern of random walk intensity π rw and on the noise distribution F . Moreover, we study the links between the endogeneous switching regime and the degree of persistence of the process ( Y t ).