Andrews, Donald W. K.; Guggenberger, Patrik - In: Journal of Time Series Analysis 29 (2008) 1, pp. 203-212
This article considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n =...