Publication Type

Journal Article

Publication Date

8-2012

Abstract

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.

Keywords

Asymptotic normality, Integrated periodogram, Linear process, Local to unity, Localizing coefficient

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Econometrics

Volume

169

Issue

2

First Page

166

Last Page

178

ISSN

0304-4076

Identifier

10.1016/j.jeconom.2012.01.020

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1016/j.jeconom.2012.01.020

Included in

Econometrics Commons

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