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A Note On Asymptotic Inference In Autoregressive Models With Roots On The Unit Circle

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  • Juha Ahtola
  • George C. Tiao

Abstract

. An estimation and inference procedure is proposed for parameters of the pth order autoregressive model with roots both on the unit circle and outside the unit circle. The procedure is motivated by the fact that the parameter estimates of the nonstationary part of the model have higher order consistency properties than the parameter estimates of the stationary part. The procedure allows the use of the known asymptotic distributional results of purely nonstationary models and purely stationary models. Only ordinary least squares routines are needed.

Suggested Citation

  • Juha Ahtola & George C. Tiao, 1987. "A Note On Asymptotic Inference In Autoregressive Models With Roots On The Unit Circle," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 15-19, January.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:1:p:15-19
    DOI: 10.1111/j.1467-9892.1987.tb00417.x
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    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana, 2022. "Trends and cycles in macro series: The case of US real GDP," Bulletin of Economic Research, Wiley Blackwell, vol. 74(1), pages 123-134, January.
    2. Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
    3. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.

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