On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle

P. Jeganathan

Econometric Theory, 1991, vol. 7, issue 03, pages 269-306

Abstract: Some asymptotic properties of the least-squares estimator of the parameters of an AR model of order p, p 1, are studied when the roots of the characteristic polynomial of the given AR model are on or near the unit circle. Specifically, the convergence in distribution is established and the corresponding limiting random variables are represented in terms of functionals of suitable Brownian motions.

Date: 1991
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