Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

• المؤلفون الرئيسيون: HAN, Chirok, PHILLIPS, Peter C. B., SUL, Donggyu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Aggregating information; Asymptotic normality; Bias Reduction; Differencing; Efficiency; Full aggregation; Maximum likelihood estimation; Econometrics
• الوصول للمادة أونلاين: 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

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...