Boundary limit theory for functional local to unity regression

• Main Authors: BYKHOVSKAYA, Anna, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Boundary asymptotics; functional local unit root; local to unity; sequential limits; simultaneous limits; unit root model; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2343; https://ink.library.smu.edu.sg/context/soe_research/article/3342/viewcontent/Boundary_Limit_Theory_Functional_sv.pdf
• Institution: Singapore Management University

This article studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity tha...