Block Local to Unity and Continuous Record Asymptotics

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Block Local to Unity and Continuous Record Asymptotics

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H. Peter Boswijk () (University of Amsterdam)

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H. Peter Boswijk

Abstract

This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recently by Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixed number of blocks, the new asymptotic approximation coincides with the conventional local to unity asymptotic approximation.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-078/4.

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Date of creation: 23 Aug 2001
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Handle: RePEc:dgr:uvatin:20010078

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This paper has been announced in the following NEP Reports:

NEP-ALL-2001-10-16 (All new papers)
NEP-ETS-2001-10-16 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Other versions:
- H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute. [Downloadable!]
- H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society. [Downloadable!]
Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie, 2001. "How To Estimate Autoregressive Roots Near Unity," Econometric Theory, Cambridge University Press, vol. 17(01), pages 29-69, February. [Downloadable!]
Other versions:
- Peter Phillips & Hyungsik Moon, 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series wp9-99, Department of Economics, UC Santa Barbara. [Downloadable!]
- Peter C.B. Phillips & Hyungsik Roger Moon & Zhijie Xiao, . "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series 9-99, Department of Economics, UC Santa Barbara. [Downloadable!]
- Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers 1191, Cowles Foundation, Yale University. [Downloadable!]
Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
Other versions:
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
repec:cup:etheor:v:7:y:1991:i:2:p:236-52 is not listed on IDEAS
Graham Elliott, 1998. "On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots," Econometrica, Econometric Society, vol. 66(1), pages 149-158, January.
Other versions:
- Graham Elliott, 1995. "On the Robustness of Cointegration Methods when Regressors Almost have Unit Roots," University of California at San Diego, Economics Working Paper Series 95-18, Department of Economics, UC San Diego.
repec:cup:etheor:v:8:y:1992:i:1:p:28-51 is not listed on IDEAS
Perron, Pierre, 1991. "A Continuous Time Approximation to the Stationary First-Order Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 7(02), pages 236-252, June. [Downloadable!]

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