2007/09/07 by Donald W. K. Andrews, Patrik Guggenberger · 7 citations
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Asymptotic distribution #Autoregressive model #Cauchy distribution #Combinatorics #Estimator #Financial Risk and Volatility Modeling #Geology #Mathematical analysis #Mathematics #Monetary Policy and Economic Impact #Philosophy #Series (stratigraphy) #Statistic #Statistical Methods and Inference #Statistics #Unit root #Zero (linguistics)
paper · open access · doi:10.1111/j.1467-9892.2007.00552.x
published in Journal of Time Series Analysis 29(1), 203-212 (Wiley)
crossref issued 2007/09/07 · crossref published 2007/09/07 · crossref published-online 2007/09/07 · openalex publication_date 2007/09/07 · crossref created 2007/09/10 · crossref published-print 2008/01/01 · crossref deposited 2023/10/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/15 · crossref indexed 2026/08/01
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 ρ n is very near to one in the sense that 1 − ρ n = o ( n −1 ).