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NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Published online by Cambridge University Press:  23 June 2008

Alexander Aue
Alexander Aue*
Affiliation:
University of California, Davis
*
Address correspondence to Alexander Aue, Department of Sciences, University of California, One Shields Avenue, Davis, CA 95616, USA; e-mail: alexaue@wald.ucdavis.edu
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Abstract

We determine the limiting behavior of near-integrated first-order random coefficient autoregressive RCA(1) time series. It is shown that the asymptotics of the finite-dimensional distributions crucially depends on how the critical value 1 is approached, which determines whether the process is near-stationary, has a unit root, or is mildly explosive. %In a second part, we derive the limit distribution of the serial correlation coefficient in the near stationary and the mildly explosive settings under very general conditions on the parameters. The results obtained are in accordance with those available for first-order autoregressive time series and can hence serve as an addition to existing literature in the area.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 5 , October 2008 , pp. 1343 - 1372
Copyright
Copyright © Cambridge University Press 2008

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