Smoothing Local-to-Moderate Unit Root Theory

Peter Phillips, Tassos Magdalinos and Liudas Giraitis ()
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Tassos Magdalinos: University of Nottingham, UK

No 1659, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e., deviations of the form = 1 + (c/n), where n is the sample size and c

Keywords: Edgeworth expansion; Local to unity; Moderate deviations; Unit root distribution (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2008-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Journal of Econometrics (October 2010), 158(2): 274-279

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Journal Article: Smoothing local-to-moderate unit root theory (2010)
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