First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient ?=?_{n}?[0,1) provided (1-?_{n})n??. This extends existing Gaussian limit theory by allowing for values of stationary ? that include neighbourhoods of unity provided they are wider than O(1/n), even by a slowly varying factor. Rates of convergence depend on ? and are at least ?n but less than n. Only second moments are assumed, as in the case of stationary autoregression with fixed ?.
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Paper provided by Department of Economics, University of York in its series Discussion Papers with number
05/23.
Length: Date of creation: Date of revision: Handle: RePEc:yor:yorken:05/23
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