Asymptotic theory for near integrated processes driven by tempered linear processes

Asymptotic theory for near integrated processes driven by tempered linear processes

In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of the score function in a stationary first order autoregression driven by independent Gaussian innovations as the autoregressive coefficient approached unity from below. The present paper develops asym...

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Bibliographic Details
Main Authors: SABZIKAR, Farzad, WANG, Qiying, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Asymptotics
Fractional integration
Integrated process
Near unit root
Tempered process
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2384
https://ink.library.smu.edu.sg/context/soe_research/article/3383/viewcontent/Asymptotic_theory_tempered_linear_process_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2384
https://ink.library.smu.edu.sg/context/soe_research/article/3383/viewcontent/Asymptotic_theory_tempered_linear_process_av.pdf

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