Long horizon regressions with moderate deviations from a unit root

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Abstract

We consider long horizon regressions where the predictor with unknown degree of persistence follows a process of moderate deviations from a unit root. Some asymptotic properties of OLS estimator and of the t statistic are presented.

Original languageEnglish
JournalEconomics Bulletin
Volume3
Issue number1
StatePublished - 2005

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