Block Local to Unity and Continuous Record Asymptotics

H. Peter Boswijk ()

No 01-078/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the conventional local to unity asymptoticapproximation.

Date: 2001-08-23
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20010078

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