Smoothing Local-to-Moderate Unit Root Theory

Smoothing Local-to-Moderate Unit Root Theory

A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. Thes...

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Bibliographic Details
Main Authors: Peter C. B. PHILLIPS, Magdalinos, Tassos, Giraitis, Liudas
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Edgeworth expansion
Local to unity
Moderate deviations
Unit root distribution
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1818
https://ink.library.smu.edu.sg/context/soe_research/article/2817/viewcontent/Smoothing_Local_to_Moderate_Unit_Root_Theory_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1818
https://ink.library.smu.edu.sg/context/soe_research/article/2817/viewcontent/Smoothing_Local_to_Moderate_Unit_Root_Theory_sv.pdf

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