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A limit theory is established for autoregressive time series that smooths the transition between local and moderate …. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the …
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distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a … for the t ratio. This amounts to the tail of the unit root process wagging the dog of the unit root limit theory. These … simple results apply in the case of a univariate autoregression with no intercept. The limit theory for vector unit root …
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It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used
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NLIV estimator is heavily leptokurtic with a limit theory which has Cauchy-like tails. Comparisons of STUR coefficient and …
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The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...
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This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak...
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