Estimators for Persistent and Possibly Nonstationary Data with Classical Properties

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… CONTINUE READING

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