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Discussion Paper

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample size dependence in the array and paying special attention to the rate at which the boundary unit root case is approached using a localizing coefficient around unity. The primary focus of the present paper is on estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size.