Asymptotics for Stationary Very Nearly Unit Root Processes

This paper 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 = (n^{-1}).

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Year of publication:	2007-03
Authors:	Andrews, Donald W.K. ; Guggenberger, Patrik
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Asymptotics \| Least squares \| Nearly nonstationary \| Stationary initial condition \| Unit root

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1220. Published in Journal of Time Series Analysis (2008), 29(1): 203-210 The price is None Number 1607 8 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762473