Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

Yuriy Gorodnichenko, Anna Mikusheva, Serena Ng

NBER Working Paper No. 17424
Issued in September 2011
NBER Program(s):   AP   EFG   IFM   ME   TWP

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.

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Document Object Identifier (DOI): 10.3386/w17424

Published: Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1003-1036, October.

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