MARC Record from Library of Congress

LEADER: 01998nam a22003017a 4500
001 2011657359
003 DLC
005 20111201194726.0
007 cr |||||||||||
008 111201s2011 mau sb 000 0 eng
010 $a 2011657359
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGorodnichenko, Yuriy.
245 10 $aEstimators for persistent and possibly non-stationary data with classical properties$h[electronic resource] /$cYuriy Gorodnichenko, Anna Mikusheva, Serena Ng.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2011.
490 1 $aNBER working paper series ;$vworking paper 17424
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 12/1/2011.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper considers a moments based non-linear estimator that is root-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, as well as certain non-linear dynamic models. Asymptotic normality is obtained because the moments are chosen so that the objective function is uniformly bounded in probability and 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"--National Bureau of Economic Research web site.
700 1 $aMikusheva, Anna.
700 1 $aNg, Serena.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 17424.
856 40 $uhttp://www.nber.org/papers/w17424