Discussion Paper
Estimation and Inference with Near Unit Roots
New methods are developed for identifying, estimating and performing inference with nonstationary time series that have autoregressive roots near unity. The approach subsumes unit root (UR), local unit root (LUR), mildly integrated (MI) and mildly explosive (ME) specifications in the new model formulation. It is shown how a new parameterization involving a localizing rate sequence that characterizes departures from unity can be consistently estimated in all cases.