文章基本信息

标题：Long horizon regressions with moderate deviations from a unit root
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作者：Jin Lee
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2005
卷号：3
出版社：Economics Bulletin
摘要：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.