Asymptotics for Stationary Very Nearly Unit Root Processes

Donald W. K. Andrews () and Patrik Guggenberger
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Patrik Guggenberger: Dept. of Economics, UCLA

No 1607, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: This paper considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n = (n^{-1}).

Keywords: Asymptotics; Least squares; Nearly nonstationary; Stationary initial condition; Unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007-03
Note: CFP 1220.
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Published in Journal of Time Series Analysis (2008), 29(1): 203-210

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Journal Article: Asymptotics for stationary very nearly unit root processes (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1607

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