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Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

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  • Yabe, Ryota

Abstract

We consider the conditional-sum-of-squares estimator (CSSE) for the moderate deviation moving average (MA(1)) process, which has a parameter belonging to a neighborhood of unity with a shrinking radius larger than O(T−1) of the near unit root. In this process, we prove consistency and asymptotic normality of the CSSE.

Suggested Citation

  • Yabe, Ryota, 2017. "Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 220-226.
  • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:220-226
    DOI: 10.1016/j.spl.2017.02.017
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    Keywords

    Moving average; Unit root; Moderate deviations;

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