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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
  • 矢部, 竜太

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  • YABE, Ryota & 矢部, 竜太, 2014. "Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)," Discussion Papers 2014-19, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2014-19
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26948/070econDP14-19.pdf
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    References listed on IDEAS

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    1. Nabeya, Seiji & Perron, Pierre, 1994. "Local asymptotic distribution related to the AR(1) model with dependent errors," Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
    2. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    3. Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, vol. 51(3), pages 799-820, May.
    4. 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, January.
    5. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    6. Davis, Richard A. & Dunsmuir, William T.M., 1996. "Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 12(1), pages 1-29, March.
    7. Ryota Yabe, 2012. "Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(4), pages 533-541, July.
    8. T. W. Anderson & Akimichi Takemura, 1986. "Why Do Noninvertible Estimated Moving Averages Occur?," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 235-254, July.
    9. Pantula, Sastry G, 1991. "Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 63-71, January.
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    More about this item

    Keywords

    Moving average; Noninvertible moving average; Unit root; local to unity; Moderate Deviations; Conditional sum of squares estimation;
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