000			02047nam a22002657a 4500
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008			240326b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aPhillips, Peter C. B _eauthor
245	1	0	_aUnit root and cointegrating limit theory when initialization is in the infinite past _ccreated by Peter C. B. Phillips and Tassos Magdalinos
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 6
520	3		_aIt is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory, producing a faster rate of convergence, a limiting Cauchy distribution for the least squares coefficient, and a limit normal distribution for the t-ratio. This amounts to the tail of the unit root process wagging the dog of the unit root limit theory. These simple results apply in the case of a univariate autoregression with no intercept. The limit theory for vector unit root regression and cointegrating regression is affected but is no longer dominated by infinite past initializations. The latter contribute to the limiting distribution of the least squares estimator and produce a singularity in the limit theory, but do not change the principal rate of convergence. Usual cointegrating regression theory and inference continue to hold in spite of the degeneracy in the limit theory and are therefore robust to initial conditions that extend to the infinite past.
650			_aUnit root test _vTime series analysis _xCointegration
650			_aScientific modelling _xTheory
700	1		_aMagdalinos, Tassos _eco author
856			_uhttps://doi.org/10.1017/S0266466609990296
942			_2lcc _cJA
999			_c164569 _d164569