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Three Essays On Nonstationary Time Series Analysis, Ye Chen
Three Essays On Nonstationary Time Series Analysis, Ye Chen
Dissertations and Theses Collection (Open Access)
Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted maximum likelihood (REML hereafter) estimation and the restricted maximum likelihood based likelihood ratio test (RLRT hereafter) in predictive regression. Chapter 1 proposes an improved jackknife estimator of the persistence parameter that works for both the discrete time unit root model and the continuous time unit root model. Maximum likelihood estimation of the persistence parameter in the discrete time unit root model …
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C. B. Phillips
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C. B. Phillips
Research Collection School Of Economics
Local to unity limit theory is used in applications to construct confidence intervals (CIs) for autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are asymptotically valid when the true model has an autoregressive root that is local to unity (rho = 1 + c/n), but are shown here to be invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the escape of probability mass. Failure at the boundary implies that these CIs have zero asymptotic coverage probability in the stationary case and vicinities …