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Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
This paper finds three estimators of the largest autoregressive root that are √ T consistent and asymptotically normal even in the local-to-unity framework. The point of departure is that the estimators are based on moments of data that are stationary when evaluated at the true parameter vector. Critical values from the normal distribution can be used for hypothesis testing, irrespective of the treatment of the deterministic terms. Simulations show that the estimates are approximately meandoi:10.3386/w17424 fatcat:dt3x2ildsvgg7dermomtmb2sdy