A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE |
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Authors: | Juha Ahtola George C. Tiao |
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Affiliation: | Department of Economics, University of Helsinki;Graduate School of Business, University of Chicago |
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Abstract: | Abstract. An estimation and inference procedure is proposed for parameters of the p th 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. |
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Keywords: | Asymptotic theory autoregressive models ordinary least squares roots on the unit circle |
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