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The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model

Published online by Cambridge University Press:  18 October 2010

Pierre Perron
Pierre Perron
Affiliation:
Princeton University and Centre de Recherche et Développement en Économique
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Abstract

We tabulate the limiting cumulative distribution and probability density functions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips. The results are obtained using an exact numerical method which integrates the appropriate limiting moment generating function. The adequacy of the approximation is examined for various first-order autoregressive processes with a root close to unity.

Type
Articles
Information
Econometric Theory , Volume 5 , Issue 2 , August 1989 , pp. 241 - 255
Copyright
Copyright © Cambridge University Press 1989

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