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Estimators For Persistent And Possibly Nonstationary Data With Classical Properties

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  • Gorodnichenko, Yuriy
  • Mikusheva, Anna
  • Ng, Serena

Abstract

This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain non-linear dynamic models. Asymptotic normality is obtained because the moments are chosen so that the objective function is uniformly bounded in probability and that a central limit theorem can be applied. Critical values from the normal distribution can be used irrespective of the treatment of the deterministic terms. Simulations show that the estimates are precise, and the t-test has good size in the parameter region where the least squares estimates usually yield distorted inference.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 28 (2012)
Issue (Month): 05 (October)
Pages: 1003-1036

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Handle: RePEc:cup:etheor:v:28:y:2012:i:05:p:1003-1036_00

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  1. So, Beong Soo & Shin, Dong Wan, 1999. "Cauchy Estimators For Autoregressive Processes With Applications To Unit Root Tests And Confidence Intervals," Econometric Theory, Cambridge University Press, vol. 15(02), pages 165-176, April.
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  4. Eugene Canjels & Mark W. Watson, 1994. "Estimating deterministic trends in the presence of serially correlated errors," Working Paper Series, Macroeconomic Issues 94-19, Federal Reserve Bank of Chicago.
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  6. Laroque, Guy & Salanie, Bernard, 1997. "Normal estimators for cointegrating relationships," Economics Letters, Elsevier, vol. 55(2), pages 185-189, August.
  7. Peter C. B. Phillips & Chirok Han, 2006. "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers 1546, Cowles Foundation for Research in Economics, Yale University.
  8. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011. "Uniform Asymptotic Normality In Stationary And Unit Root Autoregression," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1117-1151, December.
  9. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
  10. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-69, December.
  11. John M. Abowd & David Card, 1986. "On the Covariance Structure of Earnings and Hours Changes," NBER Working Papers 1832, National Bureau of Economic Research, Inc.
  12. Olivier Coibion & Yuriy Gorodnichenko, 2010. "Strategic Interaction among Heterogeneous Price-Setters in an Estimated DSGE Model," Working Papers 93, Department of Economics, College of William and Mary.
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