Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
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Mikusheva_Estimators for.pdf
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Author(s)
Gorodnichenko, Yuriy
Mikusheva, Anna
Ng, Serena
Date Issued
August 2012
Journal
Econometric Theory
Publisher
Cambridge University Press
Citation
Gorodnichenko, Yuriy, Anna Mikusheva, and Serena Ng. “ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES.” Econometric Theory (2012): 1–34. Web.
Version
Author's final manuscript
Abstract
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 models. Asymptotic normality is obtained because the moments are chosen so that the objective function is uniformly bounded in probability and so that a central limit theorem can be applied. Critical values from the normal distribution can be used irrespective of the treatment of the deterministic terms. Simulations show that the estimates are precise and the t-test has good size in the parameter region where the least squares estimates usually yield distorted inference.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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Creative Commons Attribution-Noncommercial-Share Alike 3.0
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DOI of Published Version
https://doi.org/10.1017/S0266466612000035
