Estimation for Autoregressive Processes with Unit Roots

Abstract

[2.LS Y(t)=\sum(j to p)eta(j)Y(t-j)+e(t). e(t)iid(0,σ^2). Init. cons. (Y(-p+1)...Y(0))fixed. two rootsm(1)=m(2)=1 of AR-pol. rest roots>1. I(2)-process! Estimatedroots in C.Y(t)=μ3+θ3\cdott+α3\cdotY(t-1)+β3\cdot(Y(t-1)-Y(t-2)+e(t)most extended model.