Asymptotics for Stationary Very Nearly Unit Root Processes

Donald Andrews () and Patrik Guggenberger

No 1607, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n = (n^{-1}).

Keywords: Asymptotics; Least squares; Nearly nonstationary; Stationary initial condition; Unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-03
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: CFP 1220.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Journal of Time Series Analysis (2008), 29(1): 203-210

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Journal Article: Asymptotics for stationary very nearly unit root processes (2008)
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