Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Davis, Richard A. & Dunsmuir, William T.M., 1996. "Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 12(1), pages 1-29, March.
- Liudas Giraitis & Peter C. B. Phillips, 2006.
"Uniform Limit Theory for Stationary Autoregression,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 51-60, January.
- L Giraitis & P C B Phillips, "undated". "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation for Research in Economics, Yale University.
- Nabeya, Seiji & Perron, Pierre, 1994.
"Local asymptotic distribution related to the AR(1) model with dependent errors,"
Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
- Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
- Pantula, Sastry G, 1991. "Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 63-71, January.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, vol. 51(3), pages 799-820, May.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
- Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation for Research in Economics, Yale University.
- Ryota Yabe, 2012. "Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(4), pages 533-541, July.
- T. W. Anderson & Akimichi Takemura, 1986. "Why Do Noninvertible Estimated Moving Averages Occur?," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 235-254, July.
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.- Yabe, Ryota, 2017. "Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 220-226.
- Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.
- McElroy, Tucker S. & Jach, Agnieszka, 2023. "Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
- Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013.
"No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth,"
Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
- Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
- Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
- Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
- YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
- James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
- Kurozumi, Eiji, 2009.
"Construction of Stationarity Tests with Less Size Distortions,"
Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 87-105, June.
- Kurozumi, Eiji & 黒住, 英司, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
- Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
- Xinghui Wang & Wenjing Geng & Ruidong Han & Qifa Xu, 2023. "Asymptotic Properties of the M-estimation for an AR(1) Process with a General Autoregressive Coefficient," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-23, March.
- Donald W. K. Andrews & Patrik Guggenberger, 2014.
"A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter,"
The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
- Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2012.
- Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University.
- Patrik Guggenberger, "undated". "Asymptotics for Stationary Very Nearly Unit Root Processes (joint with D.W.K. Andrews), this version November 2006," UCLA Economics Online Papers 402, UCLA Department of Economics.
- Giraitis, Liudas & Phillips, Peter C.B., 2012.
"Mean and autocovariance function estimation near the boundary of stationarity,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 166-178.
- Liudas Giraitis & Peter C. B. Phillips, 2009. "Mean and Autocovariance Function Estimation Near the Boundary of Stationarity," Cowles Foundation Discussion Papers 1690, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2012.
"Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
- Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
- Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665R2, Cowles Foundation for Research in Economics, Yale University, revised Feb 2012.
- Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews & Patrik Guggenberger, 2008.
"Asymptotics for stationary very nearly unit root processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 203-212, January.
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.
- Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014.
"Understanding the effect of technology shocks in SVARs with long-run restrictions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
- Chaudourne, Jeremy & Fève, Patrick, 2012. "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," TSE Working Papers 12-331, Toulouse School of Economics (TSE).
- Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2012. "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," IDEI Working Papers 738, Institut d'Économie Industrielle (IDEI), Toulouse.
- Artur Silva Lopes, 2006.
"Deterministic seasonality in Dickey–Fuller tests: should we care?,"
Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
- Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
- Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, University Library of Munich, Germany, revised 18 Mar 2004.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
- Bailey, N. & Giraitis, L., 2013. "Weak convergence in the near unit root setting," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1411-1415.
- Guglielmo Maria Caporale & Mario Cerrato, 2006.
"Panel data tests of PPP: a critical overview,"
Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 73-91.
- Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Economics and Finance Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
More about this item
Keywords
Moving average; Noninvertible moving average; Unit root; local to unity; Moderate Deviations; Conditional sum of squares estimation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-12-24 (Econometrics)
- NEP-ETS-2014-12-24 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
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:hit:econdp:2014-19. 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: Digital Resources Section, Hitotsubashi University Library (email available below). General contact details of provider: https://edirc.repec.org/data/fehitjp.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.