Publication Type

Journal Article

Version

acceptedVersion

Publication Date

2-2018

Abstract

Some asymptotic results are given for first-order autoregressive (AR(1)) time series with two features: (i). a nonzero constant intercept (ii). a root moderately deviating from unity. Both stationary and explosive sides are studied. It is shown that the inclusion of intercept will change drastically the large sample properties of the least-squares (LS) estimator obtained in Phillips and Magdalinos (2007, PM hereafter). For near-stationary case, only an unusual convergence of a linear combination of intercept and AR coefficient can be derived. For near-explosive case, on the other hand, the limiting distributions of two estimators will be independent and Gaussian, with conventional t-test for both of them keeping valid. Empirical implication of these limit theory is also discussed.

Keywords

Autoregression, Moderate deviation from unity, Intercept, Limit theory, Bubble

Discipline

Economics | Economic Theory

Publication

Economics Letters

Volume

163

First Page

98

Last Page

101

ISSN

0165-1765

Identifier

10.1016/j.econlet.2017.12.008

Publisher

Elsevier

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1016/j.econlet.2017.12.008

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