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Block Local to Unity and Continuous Record Asymptotics

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  • H. Peter Boswijk

    ()
    (University of Amsterdam)

Abstract

This 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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File URL: http://papers.tinbergen.nl/01078.pdf
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Bibliographic Info

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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Web page: http://www.tinbergen.nl

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  1. Phillips, Peter C.B. & Moon, Hyungsik R., 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series qt87p2z8zx, Department of Economics, UC Santa Barbara.
  2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  3. 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.
  4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  5. repec:cup:etheor:v:7:y:1991:i:2:p:236-52 is not listed on IDEAS
  6. 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.
  7. 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.
  8. repec:cup:etheor:v:8:y:1992:i:1:p:28-51 is not listed on IDEAS
  9. 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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