Limit Theory for Moderate Deviations from Unity

• المؤلفون الرئيسيون: PHILLIPS, Peter C. B., Magadalinos, Tassos
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/282
• المؤسسة: Singapore Management University

An asymptotic theory is given for autoregressive time series with a root of the form [rho]n=1+c/kn, which represents moderate deviations from unity when is a deterministic sequence increasing to infinity at a rate slower than n, so that kn=o(n) as n-->[infinity]. For c<0, the results provide a...