Block Local to Unity and Continuous Record Asymptotics
AbstractThis paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the conventional local to unity asymptoticapproximation.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-078/4.
Date of creation: 23 Aug 2001
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"How to Estimate Autoregressive Roots Near Unity,"
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- Boswijk, H.P., 2000.
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CeNDEF Working Papers
00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute.
- H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society.
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- 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.
- 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.
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- Sørensen, Bent E., 1992. "Continuous Record Asymptotics in Systems of Stochastic Differential Equations," Econometric Theory, Cambridge University Press, vol. 8(01), pages 28-51, March.
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