most citedThe asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

22 citations · 22 across the 2 of their papers we have counts for

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2 papers

econ.EM2019

Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing

Oliver Wichert, I. Gaia Becheri, Feike C. Drost +1

This paper considers unit-root tests in large n and large T heterogeneous panels with cross-sectional dependence generated by unobserved factors. We reconsider the two prevalent ap…

math.ST2009★ 22 cited

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

Feike C. Drost, Ramon van den Akker, Bas J. M. Werker

This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root'…