Econometric Theory

Table of Contents - 2008 - Volume 24, Issue 05  

Research Article

NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Alexander Auea1 c1

a1 University of California, Davis

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.

Correspondence:

c1 Address correspondence to Alexander Aue, Department of Sciences, University of California, One Shields Avenue, Davis, CA 95616, USA; e-mail: alexaue@wald.ucdavis.edu

Footnotes

The author sincerely thanks the editor, P.C.B. Phillips, and two anonymous referees for a very careful reading of the manuscript, pointing out a series of flaws and mistakes, and providing simpler proofs. This has helped to prepare a much revised version of the original paper. This work was partially supported by NSF grant DMS-0604670, NSF-OTKA grant INT-0223262, and NATO grant PST.EAP.CLG 980599.