caa a22 4500 38637144X CHVBK 20180307111959.0 cr unu---uuuuu 161130e198908 xx s 000 0 eng 10.1017/S026646660001241X doi S026646660001241X pii (NATIONALLICENCE)cambridge-10.1017/S026646660001241X Perron Pierre Princeton University and Centre de Recherche et Développement en Économique The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model [Elektronische Daten] [Pierre Perron] We tabulate the limiting cumulative distribution and probability density functions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips. The results are obtained using an exact numerical method which integrates the appropriate limiting moment generating function. The adequacy of the approximation is examined for various first-order autoregressive processes with a root close to unity. Copyright © Cambridge University Press 1989 Econometric Theory Cambridge University Press 5/2(1989-08), 241-255 0266-4666 5:2<241 1989 5 ECT https://doi.org/10.1017/S026646660001241X text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S026646660001241X text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Perron Pierre Princeton University and Centre de Recherche et Développement en Économique NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/2(1989-08), 241-255 0266-4666 5:2<241 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge