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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Bibliographic Details

Published in:	Statistics & probability letters Vol. 90; pp. 25 - 32
Main Authors:	Zhou, Zhiyong, Lin, Zhengyan
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.07.2014
Subjects:	Autoregressive model LAD estimation Moderate deviations LAD estimation Autoregressive model Moderate deviations
ISSN:	0167-7152, 1879-2103
Online Access:	Get full text
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