Asymptotic theory for LAD estimation of moderate deviations from a unit root

Zhiyong Zhou and Zhengyan Lin

Statistics & Probability Letters, 2014, vol. 90, issue C, 25-32

Abstract: An asymptotic result is given for the least absolute deviations (LAD) estimation of autoregressive time series with a root of the form ρn=1+c/kn, where kn increases to infinity at a rate slower than n. For c<0, a nkn rate of convergence and asymptotic normality for the serial correlation coefficient are provided. While in the case of c>0, the serial correlation coefficient is shown to have a Cauchy limit distribution with a knρnn convergence rate. The results are complementary to the limit theory of least squares (LS) estimator which has been established in Phillips and Magdalinos (2007a).

Keywords: Autoregressive model; Moderate deviations; LAD estimation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2014.03.004

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