Mean and autocovariance function estimation near the boundary of stationarity

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 169
Issue: 2
Pages: 166-178

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size. The rate of consistency and the validity of the normal asymptotic approximation for the corresponding estimators is determined both by the sample size n and a parameter measuring the proximity of the model to the unit root boundary.

Technical Details

RePEc Handle
repec:eee:econom:v:169:y:2012:i:2:p:166-178
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25