{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,1]],"date-time":"2026-08-01T00:45:30Z","timestamp":1785545130546,"version":"3.56.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2001,2,7]],"date-time":"2001-02-07T00:00:00Z","timestamp":981504000000},"content-version":"unspecified","delay-in-days":6,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,2]]},"abstract":"<jats:p>A new model of near integration is formulated in \nwhich the local to unity parameter is identifiable and \nconsistently estimable with time series data. The properties \nof the model are investigated, new functional laws for \nnear integrated time series are obtained that lead to mixed \ndiffusion processes, and consistent estimators of the localizing \nparameter are constructed. The model provides a more complete \ninterface between <jats:italic>I<\/jats:italic>(0) and <jats:italic>I<\/jats:italic>(1) models than \nthe traditional local to unity model and leads to autoregressive \ncoefficient estimates with rates of convergence that vary continuously \nbetween the <jats:italic>O<\/jats:italic>(\u221an) rate of stationary autoregression, \nthe <jats:italic>O<\/jats:italic>(<jats:italic>n<\/jats:italic>) rate of unit root regression, and the \npower rate of explosive autoregression. Models with deterministic \ntrends are also considered, least squares trend regression is shown \nto be efficient, and consistent estimates of the localizing \nparameter are obtained for this case also. Conventional unit root \ntests are shown to be consistent against local alternatives in the \nnew class.<\/jats:p>","DOI":"10.1017\/s0266466601171021","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"29-69","source":"Crossref","is-referenced-by-count":40,"title":["HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY"],"prefix":"10.1017","volume":"17","author":[{"given":"Peter C.B.","family":"Phillips","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hyungsik Roger","family":"Moon","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhijie","family":"Xiao","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2001,2,7]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601171021","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,9]],"date-time":"2019-04-09T20:10:25Z","timestamp":1554840625000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601171021\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2001,2]]}},"alternative-id":["S0266466601171021"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601171021","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,2]]}}}