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The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors

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  • Perron, P.

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  • Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche 9424, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Handle: RePEc:mtl:montec:9424
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    References listed on IDEAS

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    1. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    2. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    3. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February.
    4. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    5. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
    6. Perron, Pierre, 1991. "A Continuous Time Approximation to the Stationary First-Order Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 7(02), pages 236-252, June.
    7. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    8. Nabeya, Seiji & Tanaka, Katsuto, 1990. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, Econometric Society, vol. 58(1), pages 145-163, January.
    9. 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.
    10. 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.
    11. Perron, Pierre, 1989. "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model," Econometric Theory, Cambridge University Press, vol. 5(02), pages 241-255, August.
    12. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    13. Mehta, Jatinder S. & Swamy, Paravastu A. V. B., 1978. "The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(1), pages 1-13, February.
    14. Perron, P., 1990. "The Adequacy Of Limiting Distributions In The Ar(1) Model With Dependent Errors," Papers 349, Princeton, Department of Economics - Econometric Research Program.
    15. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    16. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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    Cited by:

    1. Pierre Perron & Cosme Vodounou, 2001. "Asymptotic approximations in the near-integrated model with a non-zero initial condition," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-42.
    2. Marcus J. Chambers & Maria Kyriacou, 2018. "Jackknife Bias Reduction in the Presence of a Near-Unit Root," Econometrics, MDPI, Open Access Journal, vol. 6(1), pages 1-28, March.
    3. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
    4. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
    5. PERRON, Pierre & MALLET, Sylvie, 1998. "The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation," Cahiers de recherche 9817, Universite de Montreal, Departement de sciences economiques.
    6. Perron, Pierre & Mallet, Sylvie, 2000. "A look at the quality of the approximation of the functional central limit theorem," Economics Letters, Elsevier, vol. 68(3), pages 225-234, September.

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    Keywords

    unit roots ; economic models;

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