Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases
AbstractAutoregressive models are commonly employed to analyze empirical time series. In practice, however, any autoregressive model will only be an approximation to reality and in order to achieve a reasonable approximation and allow for full generality the order of the autoregression, h say, must be allowed to go to infinity with T, the sample size. Although results are available on the estimation of autoregressive models when h increases indefinitely with T such results are usually predicated on assumptions that exclude (i) non-invertible processes and (ii) fractionally integrated processes. In this paper we will investigate the consequences of fitting long autoregressions under regularity conditions that allow for these two situations and where an infinite autoregressive representation of the process need not exist. Uniform convergence rates for the sample autocovariances are derived and corresponding convergence rates for the estimates of AR(h) approximations are established. A central limit theorem for the coefficient estimates is also obtained. An extension of a result on the predictive optimality of AIC to fractional and non-invertible processes is obtained.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 16/05.
Length: 32 pages
Date of creation: Jun 2005
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-20 (All new papers)
- NEP-ECM-2005-06-25 (Econometrics)
- NEP-ETS-2005-07-14 (Econometric Time Series)
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