Publication Type
Journal Article
Version
submittedVersion
Publication Date
10-2010
Abstract
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form rho = 1 + c/n, where n is the sample size and c < 0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case. (C) 2010 Elsevier B.V. All rights reserved.
Keywords
Edgeworth expansion, Local to unity, Moderate deviations, Unit root distribution
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
158
Issue
2
First Page
274
Last Page
279
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2010.01.009
Publisher
Elsevier
Citation
Peter C. B. PHILLIPS; Magdalinos, Tassos; and Giraitis, Liudas.
Smoothing Local-to-Moderate Unit Root Theory. (2010). Journal of Econometrics. 158, (2), 274-279.
Available at: https://ink.library.smu.edu.sg/soe_research/1818
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jeconom.2010.01.009