Gorodnichenko, Yuriy; Ng, Serena; Mikusheva, Anna - National Bureau of Economic Research (NBER) - 2011
This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...