Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)

Ryota Yabe and 竜太 矢部

No 2014-19, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Moving average; Noninvertible moving average; Unit root; local to unity; Moderate Deviations; Conditional sum of squares estimation (search for similar items in EconPapers)
Pages: 12 pages
Date: 2014-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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