Giraitis, Liudas; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004
First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that...