Asymptotics for stationary very nearly unit root processes

被引：14

作者：

Andrews, Donald W. K.

Guggenberger, Patrik ^{[1
]}

机构：

[1] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA

[2] Yale Univ, Cowles Fdn, New Haven, CT 06520 USA

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2008年 / 29卷 / 01期

基金：

美国国家科学基金会;

关键词：

asymptotic distribution; autoregressive model; stationary very nearly unit root process;

D O I：

10.1111/j.1467-9892.2007.00552.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 rho(n) is very near to one in the sense that 1 - rho(n) = o(n(-1)).

引用

页码：203 / 212

页数：10

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