10.1111/j.1467-9892.2007.00552.x

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 rho_n is very near to one in the sense that 1 - rho_n = o(n-super- - 1). Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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