Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation

摘要: Abstract New asymptotic approximations are established for the Wald and t statistics in presence of unknown but strong autocorrelation. The theory extends usual fixed-smoothing asymptotics under weak dependence to allow near-unit-root weak-unit-root processes. As locality parameter that characterizes neighborhood autoregressive root increases from zero infinity, new distribution changes smoothly unit-root dependence. Simulations show approximation is more accurate than approximation.