Asymptotic theory for near integrated processes driven by tempered linear processes

• 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
• Institution: Singapore Management University

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...