Asymptotics for stationary very nearly unit root processes

This article considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n = o(n-super- - 1). Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

MoreLess

Year of publication:	2008
Authors:	Andrews, Donald W. K. ; Guggenberger, Patrik
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 29.2008, 1, p. 203-212
Publisher:	Wiley Blackwell

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005161535