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: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Cambridge University Press
2012
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| Online Access: | http://hdl.handle.net/1721.1/73012 https://orcid.org/0000-0002-0724-5428 |