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...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press,
2012-09-17T17:55:23Z.
|
| Subjects: | |
| Online Access: | Get fulltext |