Asymptotics for stationary very nearly unit root processes

Donald W.K. Andrews; Patrik Guggenberger

doi:10.1111/j.1467-9892.2007.00552.x

Asymptotics for stationary very nearly unit root processes

Donald W.K. Andrews, Patrik Guggenberger

Economics

Research output: Contribution to journal › Article › peer-review

17 Scopus citations

Abstract

This article 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 ρ _n is very near to one in the sense that 1 - ρ _n = o(n ^-1).

Original language	English (US)
Pages (from-to)	203-212
Number of pages	10
Journal	Journal of Time Series Analysis
Volume	29
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-9892.2007.00552.x
State	Published - Jan 2008

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/j.1467-9892.2007.00552.x

Cite this

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title = "Asymptotics for stationary very nearly unit root processes",

abstract = "This article 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 ρ n is very near to one in the sense that 1 - ρ n = o(n -1).",

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AU - Guggenberger, Patrik

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AB - This article 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 ρ n is very near to one in the sense that 1 - ρ n = o(n -1).

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U2 - 10.1111/j.1467-9892.2007.00552.x

DO - 10.1111/j.1467-9892.2007.00552.x

M3 - Article

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SP - 203

EP - 212

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 1

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Asymptotics for stationary very nearly unit root processes

Abstract

All Science Journal Classification (ASJC) codes

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