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Asymptotics of near unit roots (in Russian)

Stanislav Anatolyev () and Nikolay Gospodinov ()

Quantile, 2012, issue 10, 57-71

Abstract: Sometimes the conventional asymptotic theory yields that the limiting distribution changes discontinuously, or that the asymptotic distribution does not approximate accurately the actual finite-sample distribution. In such situations one finds useful an asymptotic tool of drifting parameterizations where certain parameters are allowed to depend explicitly on the sample size. It proves useful, among other things, for impulse response analysis and forecasting of strongly dependent processes at long horizons. This essay provides a review of these alternative asymptotic approximations in the context of time series models.

Date: 2012
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