Skip to main content
Journal cover image

Boundary Limit Theory for Functional Local to Unity Regression

Publication ,  Journal Article
Bykhovskaya, A; Phillips, PCB
Published in: Journal of Time Series Analysis
July 1, 2018

This article studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity that may occur within the sample in both stationary and explosive directions. Such models enhance the flexibility of the LUR framework by including break point, trending, and multidirectional departures from unit autoregressive coefficients. We study the behavior of this model as the localizing function diverges, thereby determining the impact on the time series and on inference from the time series as the limits of the domain of definition of the autoregressive coefficient are approached. This boundary limit theory enables us to characterize the asymptotic form of power functions for associated unit root tests against functional alternatives. Both sequential and simultaneous limits (as the sample size and localizing coefficient diverge) are developed. We find that asymptotics for the process, the autoregressive estimate, and its t-statistic have boundary limit behavior that differs from standard limit theory in both explosive and stationary cases. Some novel features of the boundary limit theory are the presence of a segmented limit process for the time series in the stationary direction and a degenerate process in the explosive direction. These features have material implications for autoregressive estimation and inference which are examined in the article.

Duke Scholars

Altmetric Attention Stats
Dimensions Citation Stats

Published In

Journal of Time Series Analysis

DOI

EISSN

1467-9892

ISSN

0143-9782

Publication Date

July 1, 2018

Volume

39

Issue

4

Start / End Page

523 / 562

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0103 Numerical and Computational Mathematics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Bykhovskaya, A., & Phillips, P. C. B. (2018). Boundary Limit Theory for Functional Local to Unity Regression. Journal of Time Series Analysis, 39(4), 523–562. https://doi.org/10.1111/jtsa.12285
Bykhovskaya, A., and P. C. B. Phillips. “Boundary Limit Theory for Functional Local to Unity Regression.” Journal of Time Series Analysis 39, no. 4 (July 1, 2018): 523–62. https://doi.org/10.1111/jtsa.12285.
Bykhovskaya A, Phillips PCB. Boundary Limit Theory for Functional Local to Unity Regression. Journal of Time Series Analysis. 2018 Jul 1;39(4):523–62.
Bykhovskaya, A., and P. C. B. Phillips. “Boundary Limit Theory for Functional Local to Unity Regression.” Journal of Time Series Analysis, vol. 39, no. 4, July 2018, pp. 523–62. Scopus, doi:10.1111/jtsa.12285.
Bykhovskaya A, Phillips PCB. Boundary Limit Theory for Functional Local to Unity Regression. Journal of Time Series Analysis. 2018 Jul 1;39(4):523–562.
Journal cover image

Published In

Journal of Time Series Analysis

DOI

EISSN

1467-9892

ISSN

0143-9782

Publication Date

July 1, 2018

Volume

39

Issue

4

Start / End Page

523 / 562

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0103 Numerical and Computational Mathematics