Smoothing local-to-moderate unit root theory
Smoothing local-to-moderate unit root theory
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form p = 1 + c/n, where n is the sample size and c<0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case.
edgeworth expansion, local to unity, moderate deviations, unit root distribution
274-279
Phillips, Peter C.B
f67573a4-fc30-484c-ad74-4bbc797d7243
Magdalinos, Tassos
ded74727-1ed4-417d-842f-00ea86a3bc31
Giraitis, Luidas
7e9ad928-e548-40e9-a529-ae1696077044
October 2010
Phillips, Peter C.B
f67573a4-fc30-484c-ad74-4bbc797d7243
Magdalinos, Tassos
ded74727-1ed4-417d-842f-00ea86a3bc31
Giraitis, Luidas
7e9ad928-e548-40e9-a529-ae1696077044
Phillips, Peter C.B, Magdalinos, Tassos and Giraitis, Luidas
(2010)
Smoothing local-to-moderate unit root theory.
Journal of Econometrics, 158 (2), .
(doi:10.1016/j.jeconom.2010.01.009).
Abstract
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form p = 1 + c/n, where n is the sample size and c<0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case.
Text
Edgeworth19.pdf
- Author's Original
Restricted to Repository staff only
Request a copy
More information
e-pub ahead of print date: 1 February 2010
Published date: October 2010
Keywords:
edgeworth expansion, local to unity, moderate deviations, unit root distribution
Organisations:
Economics
Identifiers
Local EPrints ID: 187601
URI: http://eprints.soton.ac.uk/id/eprint/187601
ISSN: 0304-4076
PURE UUID: 1ec61418-0a40-4af5-9e20-37216ed233f6
Catalogue record
Date deposited: 17 May 2011 16:21
Last modified: 14 Mar 2024 03:26
Export record
Altmetrics
Contributors
Author:
Luidas Giraitis
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
