Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
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下载链接：
https://www.nber.org/papers/w17424
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2011-09-01
