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Long horizon regressions with moderate deviations from a unit root

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  • Jin Lee

    (National University of Singapore)

Abstract

We consider long horizon regressions where the predictor with unknown degree of persistence follows a process of moderate deviations from a unit root. Some asymptotic properties of OLS estimator and of the t statistic are presented.

Suggested Citation

  • Jin Lee, 2005. "Long horizon regressions with moderate deviations from a unit root," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-05c20063
    as

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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G0 - Financial Economics - - General

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