Asymptotic theory for near integrated processes driven by tempered linear processes
温化线性过程驱动的近单整过程渐近理论
In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of the score function in a stationary first order autoregression driven by independent Gaussian innovations as the autoregressive coefficient approached unity from below. The present paper develops asymptotic theory for near-integrated random processes and associated regressions including the score function in more general settings where the errors are tempered linear processes.…