Cramér’s moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root

Yu Miao and Qing Yin

Statistics & Probability Letters, 2024, vol. 209, issue C

Abstract: In this paper, we consider the linear autoregressive model with varying coefficients θn tending to the unit root. Cramér’s moderate deviations of the least-squares estimator of the parameter θn is discussed.

Keywords: Cramér’s moderate deviations; Autoregressive processes; Unit root (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110093

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