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
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715217300731
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:220-226
Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01
DOI: 10.1016/j.spl.2017.02.017
Access Statistics for this article
Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul
More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().