17.4. Limiting behavior of sums of unit root process Part 2

17.4. Limiting behavior of the sums of unit root process (Part 2)
본 영상에서는 unit root process의 합이 따르는 분포들을 도출하고 도출된 결과들을 정리한 표를 제시한다.
This video continues to derive stochastic integral stemming from the sums of unit root processes. A summary gathering the integrals is presented.
Click the following link to get the lecture note presented in the video.
drive.google.c...
★Reference: Hamilton, James Douglas. Time series analysis. Princeton university press, 2020.