IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v79y2009i22p2374-2379.html
   My bibliography  Save this article

Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance

Author

Listed:
  • Hwang, Kyo-Shin
  • Pang, Tian-Xiao

Abstract

In this article, the nearly nonstationary AR(1) processes, that is, Yt=[beta]Yt-1+[epsilon]t with [beta]=1-[gamma]/n and [gamma] being a fixed constant, are studied under the condition that the disturbances of the processes are a sequence of i.i.d. random variables, which is in the domain of attraction of the normal law with zero means and possibly infinite variances. Compared with the result in Chan and Wei (1987), a more robust statistics about the least squares estimate of [beta] is introduced.

Suggested Citation

  • Hwang, Kyo-Shin & Pang, Tian-Xiao, 2009. "Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2374-2379, November.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:22:p:2374-2379
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00320-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jeganathan, P., 1999. "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 15(4), pages 583-621, August.
    2. Jeganathan, P., 1991. "On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 7(3), pages 269-306, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fu, Ke-Ang & Li, Yuechao & Ng, Andrew Cheuk-Yin, 2013. "Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2553-2562.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fu, Ke-Ang & Li, Yuechao & Ng, Andrew Cheuk-Yin, 2013. "Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2553-2562.
    2. Buchmann, Boris & Chan, Ngai Hang, 2013. "Unified asymptotic theory for nearly unstable AR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 952-985.
    3. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
    5. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007. "Efficient tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 548-573, December.
    6. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
    7. P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.
    8. Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May.
    9. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
    10. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    11. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    12. Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
    13. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
    14. Ploberger, Werner & Phillips, Peter C.B., 2012. "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, vol. 169(2), pages 258-265.
    15. Javier Hualde & Peter M Robinson, 2003. "Cointegration in Fractional Systems with Unkown Integration Orders," STICERD - Econometrics Paper Series 449, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    16. Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
    17. Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
    18. Lacroix, R., 1999. "Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I," Working papers 70, Banque de France.
    19. Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
    20. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:79:y:2009:i:22:p:2374-2379. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.