Asymptotic inference for nearly unstable AR(p) processes

van der Meer, Tjacco and Pap, Gyula and van Zuijlen, Martien C. A. (1999) Asymptotic inference for nearly unstable AR(p) processes. Econometric Theory, 15 (2). pp. 184-217. ISSN 0266-4666

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Abstract

In this paper nearly unstable AR( p) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behavior of the least-squares estimators of the coefficients. A convergence result is presented for the general complex-valued case, The limit distribution is given by the help of some continuous time AR processes. We apply the results for real-valued nearly unstable AR(p) models. In this case the limit distribution can be identified with the maximum likelihood estimator of the coefficients of the corresponding continuous time AR processes.

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