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Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

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  • Yuriy Gorodnichenko
  • Anna Mikusheva
  • Serena Ng

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

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 17424.

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Date of creation: Sep 2011
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Publication status: published as Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1003-1036, October.
Handle: RePEc:nbr:nberwo:17424

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  12. 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, Cambridge University Press, vol. 15(02), pages 165-176, April.
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