NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Content Provider	Scilit
Author	Aue, Alexander
Copyright Year	2008
Description	We determine the limiting behavior of near-integrated first-order random coefficient autoregressive RCA(1) time series. It is shown that the asymptotics of the finite-dimensional distributions crucially depends on how the critical value 1 is approached, which determines whether the process is near-stationary, has a unit root, or is mildly explosive. %In a second part, we derive the limit distribution of the serial correlation coefficient in the near stationary and the mildly explosive settings under very general conditions on the parameters. The results obtained are in accordance with those available for first-order autoregressive time series and can hence serve as an addition to existing literature in the area.
Related Links	http://pdfs.semanticscholar.org/0ca2/731593da7638a7b26a2c9377ab1eed179b91.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/0FB8EF8505854BB62AE0E06C39B8D615/S0266466608080535a.pdf/div-class-title-near-integrated-random-coefficient-autoregressive-time-series-div.pdf
Ending Page	1372
Page Count	30
Starting Page	1343
ISSN	02664666
e-ISSN	14694360
DOI	10.1017/s0266466608080535
Journal	Econometric Theory
Issue Number	5
Volume Number	24
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2008-10-01
Access Restriction	Open
Subject Keyword	Econometric Theory Cybernetical Science Autoregressive Time Series
Content Type	Text
Resource Type	Article
Subject	Social Sciences Economics and Econometrics