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
Citation
FEI, Yijie.
Limit theory for mildly integrated process with intercept. (2018). Economics Letters. 163, 98-101.
Available at: https://ink.library.smu.edu.sg/soe_research/2169
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.econlet.2017.12.008