The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
- 1 August 1989
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 5 (2) , 241-255
- https://doi.org/10.1017/s026646660001241x
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.Keywords
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