Asymptotics for stationary very nearly unit root processes
AbstractThis article 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 = o(n-super- - 1). Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 29 (2008)
Issue (Month): 1 (01)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
Other versions of this item:
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.
- 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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