Asymptotics for stationary very nearly unit root processes |
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| Authors: | Donald W. K. Andrews Patrik Guggenberger |
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| Affiliation: | Cowles Foundation, Yale University and Department of Economics, University of California‐Los Angeles |
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| Abstract: | Abstract. This article considers a mean zero stationary first‐order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter ρn is very near to one in the sense that 1 ? ρn = o(n?1). |
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| Keywords: | Asymptotic distribution autoregressive model stationary very nearly unit root process |
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