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 …

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 …

NLIV estimator is heavily leptokurtic with a limit theory which has Cauchy-like tails. Comparisons of STUR coefficient and …