Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

作者：Yabe Ryota^*

来源：Statistics & Probability Letters, 2017, 125: 220-226.

DOI：10.1016/j.spl.2017.02.017

• Moving average
• Unit root
• Moderate deviations

We consider the conditional-sum-of-squares estimator (CSSE) for the moderate deviation moving average (MA(1)) process, which has a parameter belonging to a neighborhood of unity with a shrinking radius larger than O(T-1) of the near unit root. In this process, we prove consistency and asymptotic normality of the CSSE.

• 出版日期2017-6