Smoothing local-to-moderate unit root theory

Journal of Econometrics

Volumn 158, Issue 2, 2010, Pages 274-279

  Phillips, Peter C B ^a,b,c,d   Magdalinos, Tassos ^e   Giraitis, Liudas ^f  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^d SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^e UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^f QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Edgeworth expansion; Local to unity; Moderate deviations; Unit root distribution

Indexed keywords

AUTOREGRESSIVE COEFFICIENT; AUTOREGRESSIVE TIME SERIES; CAUCHY DENSITY; EDGEWORTH EXPANSION; LIMIT THEORY; LOCAL TO UNITY; MODERATE DEVIATIONS; SAMPLE SIZES; SECOND ORDERS; STATIONARITY; UNIT ROOT;

TIME SERIES;

EXPANSION;

EID: 84755161392     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.01.009     Document Type: Article

References (7)

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5. D. Pollard Convergence of Stochastic Processes 1984 Springer-Verlag
6. S.E. Satchell Approximation to the finite sample distribution for nonstationary first order stochastic difference equations Econometrica 52 1984 1271 1290
7. J.S. White The limiting distribution of the serial correlation coefficient in the explosive case Annals of Mathematical Statistics 29 1958 1188 1197