Asymptotic theory for LAD estimation of moderate deviations from a unit root

An asymptotic result is given for the least absolute deviations (LAD) estimation of autoregressive time series with a root of the form ρn=1+c/kn, where kn increases to infinity at a rate slower than n. For c<0, a nkn rate of convergence and asymptotic normality for the serial correlation coeffici...

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Vydáno v:Statistics & probability letters Ročník 90; s. 25 - 32
Hlavní autoři: Zhou, Zhiyong, Lin, Zhengyan
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier B.V 01.07.2014
Témata:
Autoregressive model
LAD estimation
Moderate deviations
LAD estimation
Autoregressive model
Moderate deviations
ISSN:0167-7152, 1879-2103
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Shrnutí:An asymptotic result is given for the least absolute deviations (LAD) estimation of autoregressive time series with a root of the form ρn=1+c/kn, where kn increases to infinity at a rate slower than n. For c<0, a nkn rate of convergence and asymptotic normality for the serial correlation coefficient are provided. While in the case of c>0, the serial correlation coefficient is shown to have a Cauchy limit distribution with a knρnn convergence rate. The results are complementary to the limit theory of least squares (LS) estimator which has been established in Phillips and Magdalinos (2007a).
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2014.03.004