CFDP 1607
Asymptotics for Stationary Very Nearly Unit Root Processes
Author(s):Publication Date: March 2007
Pages: 8
Abstract:
This paper 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 ρn is very near to one in the sense that 1 – ρn = (n–1).
Keywords:
Asymptotics, Least squares, Nearly nonstationary, Stationary initial condition, Unit root
JEL Classification Codes: C22
See CFP: 1220