On Asymptotic Inference in AR and Cointegrated Models With Unit Roots and Heavy Tailed Errors

P. Jeganathan
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P. Jeganathan: University of Michigan

Chapter 17 in Festschrift for Lucien Le Cam, 1997, pp 275-296 from Springer

Abstract: Abstract Consider the AR(q) model 1 $$ {{{\text{X}}}_{i}} = {{\beta }^{{\left( 1 \right)}}}{{{\text{X}}}_{{i - 1}}} + \cdots + {{\beta }^{{\left( q \right)}}}{{{\text{X}}}_{{i - q}}} + {{ \in }_{i}},fori = 1,2, \ldots ,n, $$ where ∈ i i ≥ 1, are i.i.d., independent of (X 0 ,…, X i-q ). The characteristic polynomial associated with the model (1) is defined by 2 $$\phi \left( z \right) = 1 - {{\beta }^{{\left( 2 \right)}}}{{z}^{2}} - \cdots - {{\beta }^{{\left( q \right)}}}{{z}^{q}} $$ .

Keywords: Unit Root; Little Square Estimate; Quadratic Approximation; Inference Problem; Finite Variance (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-1880-7_17

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DOI: 10.1007/978-1-4612-1880-7_17

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