Asymptotics for stationary very nearly unit root processes
This article considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n = o(n-super- - 1). Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.
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Volume (Year): 29 (2008)
Issue (Month): 1 (01)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liudas Giraitis & Peter C. B. Phillips, 2006.
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- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation for Research in Economics, Yale University.
- Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, 07.
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- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Park, Joon, 2003. "Weak Unit Roots," Working Papers 2003-17, Rice University, Department of Economics.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
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Elsevier, vol. 136(1), pages 115-130, January.
- Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation for Research in Economics, Yale University.
- Elliott, Graham & Stock, James H., 2001. "Confidence intervals for autoregressive coefficients near one," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 155-181, July.
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