PERRON, PIERRE; VODOUNOU, COSME - In: Econometrics Journal 4 (2001) 1, pp. 42-42
This paper considers various asymptotic approximations in the near-integrated first-order autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial con-dition, to derive the expansion of...