Unified asymptotic theory for nearly unstable AR(p) processes

Boris Buchmann and Ngai Hang Chan

Stochastic Processes and their Applications, 2013, vol. 123, issue 3, 952-985

Abstract: A unified asymptotic theory for nearly unstable higher order autoregressive processes and their least squares estimates is established. A novel version of Jordan’s canonical decomposition with perturbations together with a suitable plug-in principle is proposed to develop the underlying theories. Assumptions are stated in terms of the domain of attraction of partial Fourier transforms. The machinery is applied to recapture some of the classical results with the driving noise being martingale differences. Further, we show how to extend the results to higher order fractional ARIMA models in nearly unstable settings, thereby offering a comprehensive theory to analyse nearly unstable time series.

Keywords: Fractional Brownian motion; Jordan canonical form; Least squares; Lévy area; Nearly unstable autoregressive model; Unit root test (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:3:p:952-985

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DOI: 10.1016/j.spa.2012.09.014

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