Least Squares Estimators for Unit Root Processes with Locally Stationary Disturbance
Joint Authors
Hirukawa, Junichi
Sadakata, Mako
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-01-17
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
The random walk is used as a model expressing equitableness and the effectiveness of various finance phenomena.
Random walk is included in unit root process which is a class of nonstationary processes.
Due to its nonstationarity, the least squares estimator (LSE) of random walk does not satisfy asymptotic normality.
However, it is well known that the sequence of partial sum processes of random walk weakly converges to standard Brownian motion.
This result is so-called functional central limit theorem (FCLT).
We can derive the limiting distribution of LSE of unit root process from the FCLT result.
The FCLT result has been extended to unit root process with locally stationary process (LSP) innovation.
This model includes different two types of nonstationarity.
Since the LSP innovation has time-varying spectral structure, it is suitable for describing the empirical financial time series data.
Here we will derive the limiting distributions of LSE of unit root, near unit root and general integrated processes with LSP innovation.
Testing problem between unit root and near unit root will be also discussed.
Furthermore, we will suggest two kind of extensions for LSE, which include various famous estimators as special cases.
American Psychological Association (APA)
Hirukawa, Junichi& Sadakata, Mako. 2012. Least Squares Estimators for Unit Root Processes with Locally Stationary Disturbance. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-506024
Modern Language Association (MLA)
Hirukawa, Junichi& Sadakata, Mako. Least Squares Estimators for Unit Root Processes with Locally Stationary Disturbance. Advances in Decision Sciences No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-506024
American Medical Association (AMA)
Hirukawa, Junichi& Sadakata, Mako. Least Squares Estimators for Unit Root Processes with Locally Stationary Disturbance. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-506024
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-506024