The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model

B-Tier
Journal: Econometric Theory
Year: 1989
Volume: 5
Issue: 2
Pages: 241-255

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We tabulate the limiting cumulative distribution and probability density functions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips. The results are obtained using an exact numerical method which integrates the appropriate limiting moment generating function. The adequacy of the approximation is examined for various first-order autoregressive processes with a root close to unity.

Technical Details

RePEc Handle
repec:cup:etheor:v:5:y:1989:i:02:p:241-255_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29