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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| 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 |