The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...

An analytical formula is derived to approximate the finite sample bias of the ordinary least-squares (OLS) estimator of the autoregressive parameter when the underlying process has a unit root. It is found that the bias is expressible in terms of parabolic cylinder functions which are easy to...

It was recently shown (Abadir, 1993b) that nonstationarity causes the limiting distributions of the Wald (<italic>W</italic>) and Lagrange multiplier (<italic>LM</italic>) statistics to become different from each other. This paper demonstrates that such a divergence between the two distributions can be used as an indicator of...