How to Estimate Autoregressive Roots Near Unity.

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated.

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Year of publication:	1999
Authors:	Phillips, P.C.B. ; Moon, H.R. ; Xiao, Z.
Subject:	ECONOMETRICS \| MATHEMATICAL ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245542