Latent local-to-unity models

• Main Author: Yu, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: State-space; Local-to-unity; O-U process; Fractional O-U process; Fractional Brownian motion; Fractional integration; Instrumental variable; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_working_paper/3; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=soe_working_paper
• Institution: Singapore Management University

This paper proposes a class of state-space models where the state equation is a local-to-unity process. The large sample theory is obtained for the least squares (LS) estimator of the autoregressive (AR) parameter in the AR representation of the model under two sets of conditions. In the first set o...