Asymptotics for stationary very nearly unit root processes

Donald Andrews () and Patrik Guggenberger

Journal of Time Series Analysis, 2008, vol. 29, issue 1, 203-212

Abstract: Abstract. This article 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 ρn is very near to one in the sense that 1 − ρn = o(n−1).

Date: 2008
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/j.1467-9892.2007.00552.x

Related works:
Working Paper: Asymptotics for Stationary Very Nearly Unit Root Processes (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:1:p:203-212

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