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The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model

Pierre Perron ()

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: We Tabulate the Limiting Cumulative Distribution and Probability Density Functions of the Least Squares Estimator in a First-Order Autoregressive Regression When the True Model Is Near-Integrated in the Sense of Phillips (1986 A). the Results Are Obtained Using an Exact Numerical Method Which Integrates the Appropriate Limiting Moment Generating Function. the Adequacy of the Approximation Is Examined by Monte Carlo Methods for Various First-Order Autogressive Processes with a Root Close to Unity.

Keywords: Econometric Models; Time Series (search for similar items in EconPapers)
Date: 1987
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Journal Article: The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model (1989) Downloads
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