The Limiting Distribution Of The Least Squares Estimator In Nearly Integrated Seasonal Models

@inproceedings{Perron1992TheLD,
  title={The Limiting Distribution Of The Least Squares Estimator In Nearly Integrated Seasonal Models},
  author={Pierre Perron},
  year={1992}
}
We consider the least-squares estimator of the autoregressive parameter in a nearly integrated seasonal model. Building on the study by Chan (1989), who obtained the limiting distribution, we derive a closed-form expression for the appropriate limiting joint moment generating function. We use this function to tabulate percentage points of the asymptotic distribution for various seasonal periods via numerical integration. The results are extended by deriving a stochastic asymptotic expansion to… CONTINUE READING

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