Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

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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書目詳細資料
Main Authors:	HAN, Chirok, PHILLIPS, Peter C. B., SUL, Donggyu
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2011
主題:	Aggregating information Asymptotic normality Bias Reduction Differencing Efficiency Full aggregation Maximum likelihood estimation Econometrics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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