Uniform Limit Theory for Stationary Autoregression
AbstractFirst order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_n is an element of [0, 1) provided (1 - rho_n)n goes to infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that include neighbourhoods of unity provided they are wider than O(n-super- - 1), even by a slowly varying factor. Rates of convergence depend on rho and are at least but less than n. Only second moments are assumed, as in the case of stationary autoregression with fixed rho. Copyright 2006 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 27 (2006)
Issue (Month): 1 (01)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation for Research in Economics, Yale University.
- L Giraitis & P C B Phillips, . "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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