Asymptotics for stationary very nearly unit root processes

Journal of Time Series Analysis

Volumn 29, Issue 1, 2008, Pages 203-212

  Andrews, Donald W K ^a   Guggenberger, Patrik ^a,b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic distribution; Autoregressive model; Stationary very nearly unit root process

Indexed keywords

EID: 36849092490     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2007.00552.x     Document Type: Article

References (15)

1. Andrews, D. W. K. Guggenberger, P. (2007) Hybrid and size-corrected subsample methods. Cowles Foundation Discussion Paper No. 1606, Yale University. Available at http://cowles.econ.yale.edu.
2. Bobkowski, M. J. (1983) Hypothesis testing in nonstationary time series. Unpublished Ph. D. Thesis, University of Wisconsin, Madison.
3. Brockwell, P. J. Davis, R. A. (1987) Time Series: Theory and Methods. New York : Springer-Verlag.
4. Cavanagh, C. (1985) Roots local to unity. Unpublished manuscript, Department of Economics, Harvard University.
5. Chan, N. H. Wei, C. Z. (1987) Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics 15, 1050 63.
6. Elliott, G. (1999) Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. International Economic Review 40, 767 83.
7. Elliott, G. Stock, J. H. (2001) Confidence intervals for autoregressive coefficients near one. Journal of Econometrics 103, 155 81.
8. Giraitis, L. Phillips, P. C. B. (2006) Uniform limit theory for stationary autoregression. Journal of Time Series Analysis 27 (1 51 60, and Corrigendum, Journal of Time Series Analysis 27 (6 i ii.
9. Hall, P. Heyde, C. C. (1980) Martingale Limit Theory and Its Application. New York : Academic Press.
10. Müller, U. Elliott, G. (2003) Tests for unit roots and the initial condition. Econometrica 71, 1269 86.
11. Park, J. Y. (2002) Weak unit roots. Unpublished working paper, Department of Economics, Rice University.
12. Phillips, P. C. B. (1987) Towards a unified asymptotic theory for autoregression. Biometrika 74, 535 47.
13. Phillips, P. C. B. (2006) When the tail wags the unit root limit distribution. Unpublished manuscript, Cowles Foundation, Yale University.
14. Phillips, P. C. B. Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics 136, 115 30.
15. van der Vaart, A. W. Wellner, J. A. (1996) Weak Convergence and Empirical Processes. New York : Springer-Verlag.