Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

This paper considers a moments-based nonlinear estimator that is √T-consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, and certain nonlinear dynamic mo...

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Bibliographic Details
Main Authors: Gorodnichenko, Yuriy (Author), Mikusheva, Anna (Contributor), Ng, Serena (Author)
Other Authors: Massachusetts Institute of Technology. Department of Economics (Contributor)
Format: Article
Language:English
Published: Cambridge University Press, 2012-09-17T17:55:23Z.
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