Gorodnichenko, Yuriy; Mikusheva, Anna; Ng, Serena - In: Econometric Theory 28 (2012) 05, pp. 1003-1036
This paper considers a moments-based nonlinear estimator that is <inline-formula> </inline-formula>-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, and certain nonlinear dynamic...