We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for 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. The rate of consistency and the validity of the normal asymptotic approximation for the corresponding estimators is determined both by the sample size n and a parameter measuring the proximity of the model to the unit root boundary. (C) 2012 Elsevier B.V. All rights reserved.
Asymptotic normality, Integrated periodogram, Linear process, Local to unity, Localizing coefficient
Journal of Econometrics
GIRAITIS, Liudas and PHILLIPS, Peter C. B..
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity. (2012). Journal of Econometrics. 169, (2), 166-178. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1831
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