Uniform Limit Theory for Stationary Autoregression

Liudas Giraitis () and Peter Phillips

No 1475, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that include neighbourhoods of unity provided they are wider than O(n^{1}), even by a slowly varying factor. Rates of convergence depend on rho and are at least squareroot of squareroot of n but less than n. Only second moments are assumed, as in the case of stationary autoregression with fixed rho.

Keywords: Autoregression; Gaussian limit theory; local to unity; uniform limit (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2004-07
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: CFP 1166
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Journal of Time Series Analysis (2006), 27(1): 51-60

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Related works:
Journal Article: Uniform Limit Theory for Stationary Autoregression (2006)
Working Paper: Uniform limit theory for stationary autoregression
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