Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly mech...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1823 https://ink.library.smu.edu.sg/context/soe_research/article/2822/viewcontent/UniformAsymptoticNormality_2010_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |