Limit theory for moderate deviations from a unit root under weak dependence
An asymptotic theory is given for autoregressive time series with weakly dependent innovations and a root of the form rho_{n} = 1+c/n^{alpha}, involving moderate deviations from unity when alpha in (0,1) and c in R are constant parameters. The limit theory combines a functional law to a diffusion on...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1117 https://ink.library.smu.edu.sg/context/soe_research/article/2116/viewcontent/10.1.1.183.6875.pdf |
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| Institution: | Singapore Management University |
| Language: | English |