Limit theory for moderate deviations from a unit root
An asymptotic theory is given for autoregressive time series with a root of the form rho_{n} = 1+c/n^{alpha}, which represents moderate deviations from unity when alpha in (0,1). The limit theory is obtained using a combination of a functional law to a diffusion on D[0,infinity) and a central limit law to a scalar normal variate. For c
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Volume (Year): 136 (2007)
Issue (Month): 1 (January)
Pages: 115-130
| Handle: | RePEc:eee:econom:v:136:y:2007:i:1:p:115-130 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS
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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.
- Liudas Giraitis & Peter C. B. Phillips, 2006. "Uniform Limit Theory for Stationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 51-60, 01.
- L Giraitis & P C B Phillips, . "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
- Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon, 2003. "Weak Unit Roots," Working Papers 2003-17, Rice University, Department of Economics.
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