Phillips, Peter C.B.; Magadalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2005
local to unity cases (n) and explosive autoregressions ((1 + c)^{n}). For c < 0, we provide results for alpha in (0,1) that …, bridging the /n and n convergence rates for the stationary and conventional local to unity cases. Weakly dependent errors are … shown to induce a bias in the limit distribution, analogous to that of the local to unity case. Linkages to the limit theory …