Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

Ryota Yabe

Statistics & Probability Letters, 2017, vol. 125, issue C, 220-226

Abstract: We consider the conditional-sum-of-squares estimator (CSSE) for the moderate deviation moving average (MA(1)) process, which has a parameter belonging to a neighborhood of unity with a shrinking radius larger than O(T−1) of the near unit root. In this process, we prove consistency and asymptotic normality of the CSSE.

Keywords: Moving average; Unit root; Moderate deviations (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:220-226

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DOI: 10.1016/j.spl.2017.02.017

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