Long horizon regressions with moderate deviations from a unit root

Jin Lee ()
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Jin Lee: National University of Singapore

Economics Bulletin, 2005, vol. 3, issue 52, 1-11

Abstract: We consider long horizon regressions where the predictor with unknown degree of persistence follows a process of moderate deviations from a unit root. Some asymptotic properties of OLS estimator and of the t statistic are presented.

JEL-codes: C2 G0 (search for similar items in EconPapers)
Date: 2005-12-06
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