کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097521 | 1376594 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Limit theory for moderate deviations from a unit root
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
An asymptotic theory is given for autoregressive time series with a root of the form Ïn=1+c/kn, which represents moderate deviations from unity when (kn)nâN is a deterministic sequence increasing to infinity at a rate slower than n, so that kn=o(n) as nââ. For c<0, the results provide a nkn rate of convergence and asymptotic normality for the first order serial correlation, partially bridging the n and n convergence rates for the stationary (kn=1) and conventional local to unity (kn=n) cases. For c>0, the serial correlation coefficient is shown to have a knÏnn convergence rate and a Cauchy limit distribution without assuming Gaussian errors, so an invariance principle applies when Ïn>1. This result links moderate deviation asymptotics to earlier results on the explosive autoregression proved under Gaussian errors for kn=1, where the convergence rate of the serial correlation coefficient is (1+c)n and no invariance principle applies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 136, Issue 1, January 2007, Pages 115-130
Journal: Journal of Econometrics - Volume 136, Issue 1, January 2007, Pages 115-130
نویسندگان
Peter C.B. Phillips, Tassos Magdalinos,