A Near Unit Root Test
A Near Unit Root Test
A Near Unit Root Test
http://business.monash.edu/econometrics-and-business-
statistics/research/publications
May 2019
May 9, 2019
Abstract
where yt = (Yt1 , · · · , Ytp )0 and Σ1/2 is the square root of a symmetric positive definite
matrix. Here ϕ ≤ 1 and T (1 − ϕ) is bounded and the linear processes Ytj is of the
form ∞
P P∞
k=0 bk Zt−k,j where i=0 |bi | < ∞ and {Zij } are independent and identically
distributed (i.i.d.) random variables with EZij = 0, E|Zij |2 = 1 and E|Zij |4 < ∞.
We first investigate the asymptotic behavior of the first k largest eigenvalues of the
sample covariance matrices of the time series model. We then propose an estimator of
ϕ and use it to test for near unit roots. Simulations and empirical applications are also
conducted to demonstrate the performance of the statistic.
Keywords: Asymptotic normality, largest eigenvalue, linear process, near unit root
test.
JEL Classification: C21, C32.
1 Introduction
There is a long literature about testing unit–root time series. Several testing methods have
also been proposed for testing near unit root time series. The literature includes Phillips
and Perron [24] for pioneering a highly popular unit–root test, Phillips [23] for establishing a
novel estimation theory for a regression model associated with a unit root structure, Phillips
and Xiao [25] for a survey of the relevant literature up to 1998, Phillips, Moon and Xiao
∗
Bo Zhang, Department of Econometrics and Business Statistics, Monash University, Caulfield East,
Victoria 3145, Australia. Email: bo.zhang1@monash.edu.
†
Corresponding Author: Jiti Gao, Department of Econometrics and Business Statistics, Monash University,
VIC 3145, Australia. Email: jiti.gao@monash.edu.
‡
Guangming Pan, School of Physical and Mathematical Sciences, Nanyang Technological University, Sin-
gapore, 637371. Email: gmpan@ntu.edu.sg.
1
[26] for estimating autoregressive roots near unity, and Moon and Phillips [17] for GMM
estimation of panel data models with roots near unity. In the past two decades or so, there
have been studies on testing unit roots and/or near unit roots in panel data settings. One
key contribution is by Choi [9]. Some other contributions include Levin, Lin and Chu [16],
Im, Pesaran, and Shin [13], Chang [7], Pesaran [20], Pesaran, Smith and Yamagata [22] and
Pesaran [21].
As demonstrated in Zhang, Pan and Gao [31], existing unit root tests available for the
panel data setting are not directly applicable for the case where the cross–sectional dimension
is proportional or greater than the time series sample size. To address a corresponding issue
for the near unit case, we propose a new statistic for testing near unit roots in the high–
dimensional setting. One particular feature of the proposed test, which is quite different from
those proposed in Zhang, Pan and Gao [31], is that the proposed test basically mimics the
original version of the unit root test for the low–dimensional case. Since the development of
the theory for the proposed test relies on some asymptotic properties of the largest eigenvalues
of high–dimensional sample covariance matrices, we will briefly discuss the relevant literature
in the rest of this section.
In recent years, large sample properties for high–dimensional sample covariance matrices,
including their eigenvalues and eigenvectors, have been proved to be extremely useful. In fact,
random matrix theory provides many useful methods for estimation and testing procedures
in high-dimensional data analysis. With respect to eigenvalues and eigenvectors, asymptotic
properties for the largest eigenvalues are interesting and useful. There are currently two
main lines of research about asymptotic distributions of the largest eigenvalues of high–
dimensional random matrices. The first line of research is concerned with the Tracy-Widom
law. It is well known that limiting distributions of the largest eigenvalues of high-dimensional
random matrices, such as Wigner matrices, follow the Tracy-Widom law, which was originally
discovered by Tracy and Widom in [28] and [29] for Gaussian Wigner ensembles. The largest
eigenvalue of the Wishart matrix was investigated in Johnstone [14]. Recent progress for
general sample covariance matrices has also been made, and we refer to Bao, Pan and Zhou
[5], Han, Pan and Zhang[12] and El Karoui [11] among others.
Empirical data from finance, speech recognition and wireless communication often implies
that some extreme eigenvalues of sample covariance matrices are well separated from the
rest. This introduces the second line of research about the spiked eigenvalues, which was
first proposed in Johnstone [14]. There are some significant studies in recent years on the
behaviour of these spiked eigenvalues. For instance, the CLTs of the largest eigenvalues of
complex Gaussian sample covariance matrices with a spiked population were investigated in
Baik et al. [3], which also reported an interesting phase transition phenomenon. Baik and
Silverstein [4] further considered almost sure limits of the extreme sample eigenvalues of the
general spiked population. Paul [19] established a CLT for the spiked eigenvalues under the
Gaussian population and the population spikes being simple. The asymptotic distribution of
2
the extreme sample eigenvalues of the general spiked population with arbitrary multiplicity
numbers was further reported in Bai and Yao [2].
Most of the existing studies rely on the assumption that the observations of high dimen-
sional data are independent. However, observations of high–dimensional data in economics
and finance, for example, are often highly dependent. Zhang, Pan and Gao [31] may be the
first paper to deal with the largest eigenvalues of sample covariance matrices generated from
high–dimensional nonstationary time series data. Unfortunately, the result of [31] is also
limited. It only considers the case that there is a unit root in the time series. As we know,
there are many time series with near unit roots and it is hard to use the theory of [31] to
deal with them. So we need some more general results.
This paper establishes the asymptotic behaviour of the first k largest eigenvalues of the
sample covariance matrices of the time series model with near unit root. Another contribution
of this paper is that it develops a new near unit root test. We conclude this section by
giving its organization. Section 2 establishes an asymptotic distributional theory for the
first several largest eigenvalues of the covariance matrix of a high–dimensional dependent
time series. Section 2 also proposes a new near unit root test that is devoted to testing
nonstationarity for high dimensional dependent data. Section 3 evaluates both the size and
power properties of the proposed test. Section 4 concludes the paper with some remarks.
Appendix A establishes some useful lemmas for the largest eigenvalues of sample covariance
matrices and the proof of the main theorems in section 2. Appendix B gives and proves the
truncated versions of lemmas in Appendix A by truncating linear processes. Appendix C
gives the proofs of lemmas in Appendix A.
2 Asymptotic Theory
q
P
where |bi | < ∞, and {Zij } are independent and identically distributed (i.i.d.) random
i=0
variables with EZij = 0, E|Zij |2 = 1 and E|Zij |4 < ∞. Suppose that yt = (Yt1 , · · · , Ytp )0 is
a p–dimensional time series. Consider a p–dimensional time series model of the form:
3
where {δt }0≤t≤T is non-random or independent of {xt − δt }0≤t≤T , ϕ ≤ 1 and T (1 − ϕ) is
bounded.
We also define two T × p matrices ∆ = (δ1 , · · · , δT )0 and X́0 = (x0 − δ0 , · · · , x0 − δ0 )0
consisting of the initial vector x0 of the time series.
Throughout the paper, we make the following assumptions about the coefficients bi and
Σ:
Pq
(A1) i=0 i|bi | < ∞.
Pq
(A2) i=0 bi = s 6= 0.
tr(Σ1/2 )
(A3) There exist two positive constants M0 and M1 such that kΣk2 ≤ M0 and p
≥ M1 .
√
p
(A4) T → ∞ and p → ∞ such that limT →∞ T
= 0.
Assumption A1 implies that the linear process can include MA(q) models and AR(1) models.
Assumption A2 is easily satisfied. Here k · k2 stands for either the spectral norm of a matrix
or the Euclidean norm of a vector. Then Assumption A3 is common. Assumption A4 shows
that we do not require p and T to be of the same order, which is being commonly used in
the random matrix theory literature.
Remark 1. Assumptions A3 and A4 may lead to the main challenge of the model. Since there
is no extra structural assumption on Σ and p may be very large, it’s hard to get a consistent
estimator of Σ (or the cross-section dependence). Then most of the existing methods may
not work.
(A5) {Zi,j } are i.i.d random variables with mean zero, variance one and finite fourth moment.
Let zt = (Zt1 , · · · , Ztp )0 , where t can be either positive or negative integer (for the
purpose of introducing A7 below).
4
We would like to remark that Assumption A7 implies Assumption A6.
We next specify assumptions about ϕ.
(A9)
√ √
min{q, p} p(1 − ϕ) = O(1). (2.5)
The choice of ϕ in (2.4) covers many important cases where both unit–root and near–unit
root scenarios can be accommodated. If Assumptions A4 and A8 hold and q is bounded,
Assumption A9 automatically holds.
We next specify assumptions about {δt }1≤t≤T .
(A10) {δt }0≤t≤T is non-random or independent with {xt − δt }0≤t≤T and trace( √1p ∆(I − H)∆∗ ) =
PT 0
√1 2
p t=1 δt (I − H)δt = op (T ).
√
min{q, p} PT
(A11) √
p t=2 (δt − δt−1 )0 (I − H)(δt − δt−1 ) = op (T ).
PT 0
PT 0
Remark 2. Note that the order of t=1 δt (I − H)δt may be different from that of t=1 δt δt .
For example, consider δt = gt 1 + δ̃t where gt is large and kδ̃t k2 is small. One may find that
PT 0 PT 0 PT 0
t=1 δt δt is large but t=1 δt (I − H)δt = t=1 δ̃t (I − H)δ̃t is small.
5
Step 2: Estimate q by calculating (xt − xt−1 )0 (I − H) (xt+i − xt+i−1 ). Then define m =
√
min{q̂, p}.
Step 3: Calculate
T m1 XT −j
X x̀t,t X x̀t,t+j
µ̀m = +2 , (2.8)
t=2
p(T − 1) j=1 t=2
p(T − j − 1)
where
x̀t,s = (xt − xt−1 )0 (I − H) (xs − xs−1 ) .
3 2T −m
sin(T +1)θ sin(T +1)θ
sin(T + 1)θ
m − sin T θ
− − sin T θ
κ(θ) = − −m ,
sin T θ 2(T − 1)
and
h(θ) = ρ1 f (θ) − µ̀m . (2.10)
6
Theorem 2. Suppose that Assumptions A1–A5 and A7–A11 hold.
(2) As T → ∞, we have
√ ρ1 f 0 (θ̂)
p (θ̂ − θϕ,1 ) → N (0, 1). (2.14)
Sσ2 ,m
It is also stressed that TeN is applicable in many different choices of ϕ involved in (2.4).
For a general form of ϕ = 1 − T χ√p , we consider both unit–root and near unit root scenarios:
√
χ = 0, χ = √1p , χ = 1 or χ = p. As shown in the simulation studies in Section 3 below, TeN
works well numerically.
3 Simulation
3.1 Estimation of q
Generally, the estimation of q can be done as follows. Calculate
PT −j
t=2 x̀t,t+j
ζj = (3.1)
p(T − j − 1)
and
√ √
q̂ = min{0 ≤ i < [ p] : |ζj | < p−1/4 T −1/2 , i < j < [ p]}. (3.2)
7
report the results of the three tests based on 1000 replications, 500 bootstrap replications
and different values of p and T . The nominal size throughout this section is set to be 0.05.
Tables 1–3 below show that when p becomes large, both t∗ols and Fols
∗
have a poor size
property even though yt is independent over t. They don’t work for the near unit root when
p is large.
1
Table 1: The empirical size of two tests under H0 : ϕ = 1 − Tp
the test T \p 10 20 40 60 80
1
Table 2: The empirical size of two tests under H0 : ϕ = 1 − T
√
p
the test T \p 10 20 40 60 80
8
1
Table 3: The empirical size of two tests under H0 : ϕ = 1 − T
the test T \p 10 20 40 60 80
• Table 4 shows that the test TeN has good sizes and power values even when p and T
are as small as 10 and 20, respectively. Meanwhile, the power values increase when χ
increases, and the sizes become stable even when p increases to 80. Table 4 particularly
reveals some findings for the case where the null hypothesis is a unit root of the form:
H0 : ϕ = 1, and the alternative is a near unit root of the form: H1 : ϕ = 1 − T1 . In
this setting, the power values are quite substantial with 0.239 for the case of (p, T ) =
(10, 20).
• Tables 5–7 have similar features to those observed in Table 4, but there are some
differences. For instances, Table 5 shows that when H0 : χ = √1
holds, the so–called
p
√
power values under H1 : χ = 0 or H1 : χ = 1 look more like sizes. Under H1 : χ = p,
however, when the departure is substantial, the power values increase significantly, and
they also increase when either p or T increases.
9
Table 4: Sizes and power values under H0 : χ = 0
√
p T χ = 0 (size) χ= √1 (power) χ = 1 (power) χ= p (power)
p
10
Table 5: Sizes and power values under H0 : χ = √1
p
√
p T χ = 0 (power) χ = √1 (size) χ = 1 (power) χ = p (power)
p
11
Table 6: Sizes and power values under H0 : χ = 1
√
p T χ = 0 (power) χ = √1 (power) χ = 1 (size) χ= p (power)
p
12
√
Table 7: Sizes and power values under H0 : χ = p
√
p T χ = 0 (power) χ = √1 (power) χ = 1 (power) χ = p (size)
p
13
4 Conclusions and discussion
This paper has proposed a new near unit test for the case where the dimensionality of a vector
of time series diverges along with the sample size. The proposed test has been constructed
in a similar fashion to that of the original Dickey–Fuller test, and the main difference is that
the asymptotic distribution of the proposed test is standard normal, while the DF test has a
nonstandard limiting distribution.
As shown in the simulation study, some of the existing tests proposed for the low–
dimensional setting don’t work well numerically. The proposed test however has good size
and power properties in the finite–sample cases.
5 Acknowledgements
The authors would like to thank the Australian Research Council Discovery Grants Program
for its support under Grant numbers: DP150101012 & DP170104421.
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15
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Lemma 1. Suppose that Assumptions A1–A5 and A7–A9 hold. Let ρk be the kth largest eigenvalue
of B. When k is fixed, the random vector
0
√
tr(Σ1/2 (I−H)Σ1/2 ) tr(Σ1/2 (I−H)Σ1/2 )
p ρ1 − γϕ,1 p ρk − γϕ,k p
q ,··· , (A.3)
2tr(Σ1/2 (I−H)Σ(I−H)Σ1/2 ) γϕ,1 γϕ,k
p
converges weakly to a zero-mean Gaussian vector w = (w1 , · · · , wk )0 with the covariance function
cov(wi , wj ) = 0 for any i 6= j and var(wi ) = 1.
and
∞
tr(Σ1/2 (I − H)Σ1/2 ) X 1
µ̀m = κ(θϕ,1 )(a0 + 2 aj ) + op (m(1 − ϕ)) + Op (1 − ϕ) + op ( √ ). (A.5)
p p
j=1
r
S̀σ2 ,0 s
|µ̀m2 | 2 p
∞
X 2tr(Σ1/2 (I − H)Σ(I − H)Σ1/2 )
S̀σ2 ,m = T
= (a0 + 2 ai ) + op (1) (A.7)
P x̆i,i p
i=1
p(T −1)
i=2
and
q
2tr(Σ1/2 (I−H)Σ(I−H)Σ1/2 )
γϕ,1 p
= 1 + op (1). (A.8)
λϕ,1 S̀σ2 ,m
16
Proof of Theorem 1: We conclude from Lemmas 1-3 that under the conditions in Theorem 1,
ϕ,1 λ
√ ρ1 − κ(θϕ,1 ) µ̀m
p → N (0, 1). (A.9)
λϕ,1 S̀σ2 ,m
1
Note that λϕ,1 = g2 (θϕ,1 ) and (A.4), (2.12) then follows.
ρ1
Proof of Theorems 2: At first we prove (2.13). From Lemmas 1-2 we have µ̀m = λϕ,1 (1 + op (1)).
1
We can define ϕ̌ = ϕ − T and θ̌ ∈ ( TT+1
π
, π) such that g1 (θ̌) = ϕ̌. Then
Similarly we obtain
Tπ
lim P (h( ) < 0) = 1.
p,T →∞ T + 41
Thus (2.13) follows from the continuity of h(θ).
We next prove that the solution is unique. It suffices to prove that f (θ) is monotone on the
interval ( TT+1
π
, TT+π1 ). From the chain rule f 0 (θ) = g20 (θ)κ(θ) + g2 (θ)κ0 (θ). It is straightforward to
4
verify that κ(θ) = 1 + op (1), κ0 (θ) = Op (m1 ) and g2 (θ) = Op ( T12 ). As for g20 (θ) we have
sin 2T π
T +ı sin(T π −
T ıπ
T +ı ) − 2T cos(T π − T ıπ 2 Tπ
T +ı ) sin T +ı
g20 (θ) = 3 T ıπ
sin (T π − T +ı )
Tπ T ıπ T ıπ Tπ
T π cos T +ı sin(T π − T +ı ) −
T cos(T π − T +ı ) sin T +ı
= 2 sin
T +ı sin (T π − TT +ı
3 ıπ
)
Tπ T ıπ T ıπ Tπ
T π cos T +ı (−1)T +1 sin T +ı + T (−1)T +1 cos T +ı sin T +ı
= 2 sin
T +ı (−1)T +1 sin3 TT +ı
ıπ
ıπ T ıπ T ıπ ıπ
ıπ − cos T +ı sin T +ı + T cos T +ı sin T +ı
= 2 sin . (A.12)
T +ı sin3 TT +ı
ıπ
1
When 4 < ı < 1, − cos Tıπ+ı sin TT +ı
ıπ
+ T cos TT +ı
ıπ
sin Tıπ+ı < 0 has a constant order. It follows that
there is a constant > 0 such that
when 1
4 < ı < 1. This, together with κ(θ) = 1 + op (1), κ0 (θ) = Op (m1 ) and g2 (θ) = Op ( T12 ), implies
that there is a constant 1 > 0 such that
17
Now we prove (2.14). Since θ̂ ∈ ( TT+1
π
, π) is the solution of h(θ) = 0, we can rewrite (2.12) as
√ ρ1 f (θϕ,1 ) − ρ1 f (θ̂)
p → N (0, 1). (A.15)
S̀σ2 ,m2
This leads to f (θϕ,1 ) − f (θ̂) = Op ( T 21√p ). This, together with (A.14), implies that
1
θ̂ − θϕ,1 = Op ( √ ). (A.16)
T p
Then we use Taylor expansions. We only need to prove f 00 (θ̃) = Op (1) for any θ̃ between θϕ,1
and θ̂. Since (A.16) ensures that θϕ,1 and θ̂ are very close, it’s not hard. The proof of (2.15) is
similar. We ignore the details.
It follows that Y = FZp , where Zp is a (T +l)×p random matrix with (Zp )i,j = Zi−l,j . For the sake
of notation simplicity, we below denote Zp by Z and (Zp )i,j by Zij . Let A = (Aij )T ×T = (a|i−j| )T ×T .
We then have A = FF0 . We would remind readers that l depends on T so that a|i−j| depends on T.
We also assume that x0 = 0 and δt = 0 in this section.
Note that we have studied the case ϕ = 1 in [31]. Below we deal with with the case of ϕ < 1.
18
We below investigate the eigenvalues and eigenvectors of Cϕ FF∗ Cϕ ∗ = Cϕ ACϕ ∗ at first. These
are crucial steps.
Since it’s very hard to find the eigenvalues of Cϕ ACϕ ∗ directly we use the following strategy. At
first, we note that the eigenvalues of Cϕ ACϕ ∗ and AC∗ϕ Cϕ are the same. We obtain the eigenvalues
and eigenvectors of C∗ϕ Cϕ by first studying (C∗ϕ Cϕ )−1 . The next key step is to approximate the
eigenvalues of CAC∗ . Our results are summarized in the following series of Lemmas and Theorems.
The first two lemmas describe the eigenvalues of C∗ϕ Cϕ and decide their limits.
Lemma 4. Let λϕ,1 ≥ λϕ,2 ≥ · · · ≥ λϕ,T ≥ 0 be the eigenvalues of C∗ϕ Cϕ . We then have
1
λϕ,k = with π > θϕ,1 > · · · > θϕ,T > 0, (B.3)
2ϕ(1 + cos θϕ,k ) + (1 − ϕ)2
where π > θϕ,1 > · · · > θϕ,T > 0 are the solutions of the equation
for any fixed k. Futhermore, when T is big enough there exists a independent constant Υ > 0 such
that
λ1,k − λϕ,k
lim ≤ ΥT (1 − ϕ) (B.7)
T →∞ λ1,k
for any k.
Lemma 8.
T
ΣTj=1 (xk,j )2 = + o(T ).
2
Let
x̃k
ỹk = . (B.10)
kx̃k k
Then {ỹk }1≤k≤T are orthogonal and the jth element of ỹk , yk,j , satisfies
|xk,j | 1
|yk,j | = = O( √ ). (B.11)
kx̃k k T
19
Lemma 9 gives the approximation to the eigenvalues of AC∗ϕ Cϕ .
When T (1 − ϕ) is bounded, for any fixed constant k ≥ 1, there is a constant cϕ,k such that
γϕ,k
lim = cϕ,k > 0. (B.13)
T →∞ T 2
Let βϕ,1 ≥ βϕ,2 ≥ · · · ≥ βϕ,T be the eigenvalues of AC∗ϕ Cϕ . If A satisfies the assumptions (A1)
and (A2), then for any fixed integers i ≥ 1 and j ≥ 1 the following holds
βϕ,i − γϕ,i
| | = O(T −1 ). (B.14)
γϕ,j
For any > 0 there exists T0 and k0 where k0 is a fixed number independent of T such that when
T ≥ T0 and k ≥ k0 ,
βϕ,k
| | ≤ . (B.15)
γϕ,1
Lemma 10. (Lemma C.5 in [31]) Suppose that A satisfies the assumptions (A1) and (A2). Then
(T + 1)T X
tr(AC∗1 C1 ) = a0 + aj (T − j + 1)(T − j)
2
1≤j≤T −1
and
β1,k γ1,k 8
lim = lim = 2 .
T →∞ tr(AC∗1 C1 ) T →∞ tr(AC∗1 C1 ) π (2k − 1)2
Lemma 11. (Lemma C.6 in [31]) Suppose that A satisfies the assumptions (A1) and (A2). For
any > 0, we can find T0 and k0 , where k0 is a finite number independent of T , such that when
T ≥ T0 , P
k>k0 β1,k
| | < . (B.16)
γ1,1
Lemma 12. Suppose that A satisfies the assumptions (A1) and (A2). For any > 0, we can find
T0 and k0 , where k0 is a finite number independent of T , such that when T ≥ T0 ,
P
βϕ,k
| k>k0 | < . (B.17)
γϕ,1
Proof of Lemma 4:
Let MT = (C∗ϕ Cϕ )−1 . Define the characteristic function of MT by gT (λ) = det(λIT − MT ).
We can verify that the entries of the inverse matrix Cϕ −1 , a T × T lower triangular matrix, are of
the form
1 i = j,
−1
Cϕ,ij = −ϕ i = j + 1,
0 otherwise.
20
By the cofactor expansion we obtain a recurrence relation as following
Consider λ ∈ (0, 4) at first. Hence we may write λ = λ(θ) = 1 + ϕ2 + 2ϕ cos θ. We can further
solve (B.18) to get
ϕT +1 sin T θ + ϕT sin(T + 1)θ
gT (λ) = .
sin θ
6 0, gT (λ) = 0 is equivalent to
When sin θ =
$k $k
λ1,k − λϕ,k (1 − ϕ)2 + 2(ϕ − 1)(1 + cos θϕ,k ) + 4 sin(θ1,k − 2 ) sin 2
= . (B.23)
λ1,k 1 + ϕ2 + 2ϕ cos θϕ,k
Note that
(1 − ϕ)2 λ1,1
0< ≤ 2 T 2 (1 − ϕ)2 , (B.24)
1+ ϕ2
+ 2ϕ cos θϕ,k T
and
(ϕ − 1)(1 + cos θϕ,k ) (1 + cos θϕ,k ) 1−ϕ
| 2
| = (1 − ϕ)| 2
|≤ . (B.25)
1 + ϕ + 2ϕ cos θϕ,k (1 − ϕ) + 2ϕ(1 + cos θϕ,k ) 2ϕ
From (B.4), (B.19) and (B.20), we can find that
θϕ,k
(1 − ϕ) sin T θϕ,k = sin T θϕ,k + sin(T + 1)θϕ,k = 2 sin(T + 1/2)θϕ,k cos .
2
It follows that
(T + 1 − k)π (T + 1 − k)π θϕ,k
(1 − ϕ) sin T ( − $k ) = 2 sin(T + 1/2)( − $k ) cos .
T + 1/2 T + 1/2 2
21
Then
T +1−k θϕ,k
(1 − ϕ) sin((T + 1 − k)π − π − T $k ) = 2 sin((T + 1 − k)π − (T + 1/2)$k ) cos .
2T + 1 2
T +1−k θϕ,k
(1 − ϕ) sin( π + T $k ) = 2 sin(T + 1/2)$k cos .
2T + 1 2
Then we can find that
T +1−k T +1−k θϕ,k
(1 − ϕ) sin( π) cos T $k + (1 − ϕ) sin T $k cos( π) = 2 sin(T + 1/2)$k cos .
2T + 1 2T + 1 2
θϕ,k
Recall that 0 < $T −k+1 ≤ kπ
T (2T +1) and θϕ,k ∈ [ (T +1−k)π
T +1 , (TT+1−k)π
+1/2 ]. Then sin(T + 1/2)$k cos 2 6=
0. It follows that
sin T2T
+1−k
+1 π cos T $k sin T $k cos T2T
+1−k
+1 π
(1 − ϕ) θϕ,k
+ (1 − ϕ) θϕ,k
= 1.
2 sin(T + 1/2)$k cos 2 2 sin(T + 1/2)$k cos 2
T +1−kπ
Note that 0 < T $k < (T + 1/2)$k ≤ 2T ≤ π2 , and
sin T $k
0< < 1. (B.26)
sin(T + 1/2)$k
cos T2T
+1−k
+1 π cos T2T
+1−k
+1 π cos T2T
+1−k
+1 π
0< < θϕ,k
< = 1. (B.27)
cos (T 2T
+1−k)π
+2 cos 2 cos (T 2T
+1−k)π
+1
sin T2T
+1−k
+1 π cos T $k
(1 − ϕ) θϕ,k
= 1 + O(1 − ϕ).
2 sin(T + 1/2)$k cos 2
Then
T +1−k
$k $k sin(T + 1/2)$k sin 2T +1 π
tan T $k cos + sin = = (1 − ϕ) θ
(1 + O(1 − ϕ)). (B.28)
2 2 cos T $k 2 cos ϕ,k 2
(T −k+1)π π
Since 0 < $k ≤ T (2T +1) < 2T ,
$k (T − k + 1)2
cos = 1 + O( ) (B.29)
2 T4
and
$k tan T $k
sin = O( ). (B.30)
2 T
(B.28)-(B.30) imply that
T +1−k
1 sin 2T +1 π
tan T $k (1 + O( )) = (1 − ϕ) θ
(1 + O(1 − ϕ)). (B.31)
T 2 cos ϕ,k 2
22
Since T (1 − ϕ) is finite, we have
sin T2T
+1−k
+1 π 1
tan T $k = (1 − ϕ) θϕ,k
(1 + O( )). (B.32)
2 cos T
2
sin T2T
+1−k
+1 π 1
0< θϕ,k
< (T +1−k)π
≤ ∞. (B.33)
2 Tk cos 2 2 Tk cos 2T +1
λ1,k − λϕ,k
≤ ΥT (1 − ϕ) (B.36)
λ1,k
for any k.
Lemmas 7 can be verified with some straightforward computations and the simple fact that
|xk,j | ≤ 1.
Lemma 8 can be then proved with some straightforward computations. We ignore details here.
Proof of Lemma 9:
Let’s prove (B.13) at first. Note that
X X X X
|(a0 +2 aj (−1)j cos(jθϕ,k ))−(a0 +2 aj )| ≤ 2 |aj ||cos(j(π−θϕ,k ))−1|+2 |aj |.
1≤j≤T −1 1≤j≤∞ 1≤j≤T −1 T ≤j
(B.38)
π π
For a fixed k, we can find a jk to satisfy 3 ≤ j(π − θϕ,k ) ≤ 2. It follows that
X 1 X
2 |aj ||cos(j(π − θϕ,k )) − 1| ≤ |aj |j 2 (π − θϕ,k )2
2
1≤j≤jk 1≤j≤jk
jk (π − θϕ,k )2 X
≤ j|aj |
2
1≤j≤jk
kπ 2 X
≤ j|aj | (B.39)
4(T + 1)
1≤j≤∞
23
and that
X X X
2 |aj ||cos(j(π − θϕ,k )) − 1| + 2 |aj | ≤ 4 |aj |
jk <j≤T −1 T ≤j j≥jk
X 3(2k − 1) X
≤ jk−1 4 j|aj | ≤ j|aj |. (B.40)
2T + 1
j≥jk 1≤j≤∞
T X
T T −1
X λϕ,i λϕ,j X λ2ϕ,1
kMa,ϕ,R k22 ≤ ∗ (2 h|ah |)2
= O( ). (B.46)
kx̃i k2 kx̃j k2 T2
i=1 j=1 h=1
This, together with (B.13), leads to (B.14).
24
B.2 Eigenvectors of Cϕ AC∗ϕ
This section is to investigate the eigenvectors of Cϕ AC∗ϕ . Recalling (B.10), we normalize {x̃k }1≤k≤T
to get {ỹk }1≤k≤T . Then we study the eigenvectors of of AC∗ϕ Cϕ by representing them with
{ỹk }1≤k≤T . At last we give some result about the eigenvectors of Cϕ AC∗ϕ which is necessary
for the future proof. Our results are the following.
Lemma 13. Let {uk }1≤k≤T be orthogonal and real vectors such that kuk k = 1 and
C−1
ϕ uk
Define fk = kC−1
such that
ϕ uk k
with
ΣTj=1 αkj
2
= 1. (B.50)
T +l
X
4
Sk,j = O(T −1 ). (B.52)
j=1
C−1
ϕ uk
Proof of Lemma 13: From fk = kC−1 uk k
and (B.48), we have kfk k = 1 and
1/2 1/2
fk∗ C∗ϕ Cϕ AC∗ϕ Cϕ fk fk∗ Vϕ∗ Λϕ (Λa,ϕ,M + Ma,ϕ,R )Λϕ Vϕ fk
βϕ,k = = .
kCϕ fk k2 kCϕ fk k2
It follows that
1/2 1/2 1/2 1/2
|fk∗ Vϕ∗ Λϕ Λa,ϕ,M Λϕ Vϕ fk | − |fk∗ Vϕ∗ Λϕ Ma,ϕ,R Λϕ Vϕ fk |
≤ βϕ,k (B.54)
kCϕ fk k2
and
1/2 1/2 1/2 1/2
|f ∗ Vϕ∗ Λϕ Λa,ϕ,M Λϕ Vϕ fk | + |fk∗ Vϕ∗ Λϕ Ma,ϕ,R Λϕ Vϕ fk |
βϕ,k ≤ k . (B.55)
kCϕ fk k2
By (B.9), (B.10), (B.43) and (B.49), we have
q
kCϕ fk k = ΣTj=1 αkj
2 λ
ϕ,j . (B.56)
25
From (B.46), we have
1/2 1/2
|fk∗ Vϕ∗ Λϕ Ma,ϕ,R Λϕ Vϕ fk |
≤ kMa,ϕ,R k2 = O(T ).
kCϕ fk k2
ΣTj=1 αkj
2 γ
ϕ,j λϕ,j ΣTj=1 αkj
2 γ
ϕ,j λϕ,j
− O(T ) ≤ βϕ,k ≤ + O(T ).
ΣTj=1 αkj
2 λ
ϕ,j ΣTj=1 αkj
2 λ
ϕ,j
Note that {uk }1≤k≤T are orthogonal and {ỹk }1≤k≤T are orthogonal. When k 6= m, from (B.9),
(B.10) and (B.49) we have
ΣTj=1 υkj
2
= 1. (B.60)
We consider υkj for fixed k below. When k = 1 and T is big enough, Lemma 9, (B.60) and
(B.61) imply
2 = O(T −1 ). It’s similar to obtain that υ 2 = 1 + O(T −1 ) and υ 2 = O(T −1 ) for any
This implies υk1 22 k2
k 6= 2.
2 = 1 + O(T −1 ) for any fixed k. This implies
By repeating these steps we conclude that υkk
(B.51).
26
Proof of Lemma 14: Note that {sk }1≤k≤T are orthogonal and real due to orthogonality of {uk }1≤k≤T .
We conclude from (B.9) and (B.49) that
F∗ C∗ϕ Cϕ fk 1
sk = √ =√ ΣT αkj λϕ,j F∗ ỹj = sk,M + sk,R , (B.65)
γϕ,1 kCϕ fk k γϕ,1 kCϕ fk k j=1
where
1 1
sk,M = √ αkk λϕ,k F∗ ỹk , sk,R = √ Σj6=k αkj λj F∗ ỹj . (B.66)
γϕ,1 kCϕ fk k γϕ,1 kCϕ fk k
From Lemma 5, (B.51), and (B.56) we can obtain that for any fixed k,
q v
2 λ2
Σj6=k αkj u 2 λ
ϕ,j u Σj6=k αkj ϕ,j p
≤ t
T 2
λϕ,1 = O(T 1/2 ).
kCϕ fk k Σj=1 αkj λϕ,j
1
Similarly, we can also obtain that √
γ1 kCfk k αkk λk is bounded for any fixed k.
Let Sk,M,j be the jth element of sk,M and Sk,R,j be the jth element of sk,R . From (B.11), (B.51)
and (B.66) and the assumption (A1) we can obtain that for any fixed k,
l
1 2 X
|Sk,M,j | ≤ √ |αkk |λk √ |bh | = O(T −1/2 ). (B.68)
γϕ,1 kCϕ fk k 2T + 1 h=0
27
B.3 The proof of Lemma 1 for truncated matrices
The proof of the remaining part of the Lemma 1 for truncated matrices is the same as that of the
part C.2.3-C.2.4 in [31].
T m T −j
X x̀i,i XX x̀i,i+j
µ̀m1 = +2 (C.1)
p(T − 1) p(T − j − 1)
i=2 j=1 i=2
T
X (xi − δi − xi−1 + δi−1 )(I − H)0 (xi − δi − xi−1 + δi−1 )
=
p(T − 1)
i=2
m1 T −j
X X (xi − δi − xi−1 + δi−1 )(I − H)0 (xi+j − δi+j − xi+j−1 + δi+j−1 )
+2
p(T − j − 1)
j=1 i=2
T
X 2(xi − δi − xi−1 + δi−1 )(I − H)0 (δi − δi−1 )
+
p(T − 1)
i=2
m1 T −j
X X (δi − δi−1 )(I − H)0 (xi+j − δi+j − xi+j−1 + δi+j−1 )
+2
p(T − j − 1)
j=1 i=2
m1 T −j
X X (xi − δi − xi−1 + δi−1 )(I − H)0 (δi+j − δi+j−1 )
+2
p(T − j − 1)
j=1 i=2
T
X (δi − δi−1 )(I − H)0 (δi − δi−1 )
+
p(T − 1)
i=2
m1 T −j
X X (δi − δi−1 )(I − H)0 (δi+j − δi+j−1 )
+2 .
p(T − j − 1)
j=1 i=2
Note that
√
lim P (m ≤ min{q, p}) = 1. (C.2)
p,T →∞
28
Moreover
T m1 T −j
X (δi − δi−1 )(I − H)0 (δi − δi−1 ) X X (δi − δi−1 )(I − H)0 (δi+j − δi+j−1 )
| +2 | (C.3)
p(T − 1) p(T − j − 1)
i=2 j=1 i=2
T 0
(δi − δi−1 )(I − H) (δi − δi−1 )
X
≤ (2m1 + 1)
p(T − m1 − 1)
i=2
T √ !
1 X min{q, p}(δi − δi−1 )(I − H)0 (δi − δi−1 ) 1
=√ O √ = op ( √ ),
p pT p
i=2
which is ensured by Assumption A11. The other parts involving (δi − δi−1 ) are similar. Note that
assumptions A8 and A10-A11 ensure that δt does not change the asymptotic properties of the
estimators. In the following part of this subsection we only consider the case when δt = 0.
Recalling the assumptions (A7) and (A8) one can find that Ek(ϕ − 1)ϕt−1 x0 k2 → 0. Below for
facilitating statements we ignore the term and write
t−2
X
xt − xt−1 = Σ1/2 (yt + (ϕ − 1) ϕk yt−k−1 ). (C.5)
k=0
Recalling the notation x̆f,g below (2.11) we can write Ex̆t,t−j when j ≥ 1 as
where
j−1
X t−2
X t−j−2
X
A1tj = (ϕ − 1) ϕk aj−k−1 , A2tj = (ϕ − 1) ϕk ak+1−j , A3tj = (ϕ − 1) ϕk ak+j+1 ,
k=0 k=j k=0
j−1 t−j−2
X X t−2
X t−j−2
X
A4tj = (ϕ − 1)2 ϕk1 +k2 ak2 +j−k1 , A5tj = (ϕ − 1)2 ϕk1 +k2 ak2 +j−k1 ,
k1 =0 k2 =0 k1 =j k2 =k1 −j+1
and
1 −j
t−2 kX
X
A6tj = (ϕ − 1)2 ϕk1 +k2 ak1 −k2 −j .
k1 =j k2 =0
Hence
T
1 X
Ex̀t,t−j
p(T − j − 1)
t=j+2
T
tr(Σ1/2 (I − H)Σ1/2 ) 1 X
= (aj + A1tj + A2tj + A3tj + A4tj + A5tj + A6tj(C.6)
).
p (T − j − 1)
t=j+2
29
We next analyze these term by term.
The terms Aktj , k = 1, · · · , 6 can be rewritten as follows:
T
X T
X t−1−j
X
A2tj = (ϕ − 1) ϕk+j−1 ak (C.7)
t=j+2 t=j+2 k=1
−1−j
TX T
X −1−j
TX
k+j−1
= (ϕ − 1) ϕ ak = (ϕ − 1) ϕk+j−1 (T − j − k)ak ;
k=1 t=j+1+k k=1
T
X T
X t−1
X T
X −1
A3tj = (ϕ − 1) ϕk−j−1 ak = (ϕ − 1) ϕk−j−1 (T − k)ak ; (C.8)
t=j+2 t=j+2 k=j+1 k=j+1
T T −2 T −2
X 1−ϕ X |j−k2 | 1 X
ak2 ϕ2+|k2 −j| − ϕmin{2+k2 +j,2T −k2 −j}
A4tj = ak2 ϕ (T − 1 − max{k2 , j}) − 2
1+ϕ (1 + ϕ)
t=j+2 k2 =1 k2 =1
T −2
1−ϕ X
− ak2 ϕk2 +j max{T − k2 − j − 1, 0}; (C.9)
1+ϕ
k2 =1
T T −j−2 −j−2
TX
X 1−ϕ X 1 2T −k2 −j
ak2 ϕj+k2 (T − 1 − j − k2 ) − 2+k2 +j
A5tj = ak2 ϕ − ϕ (C.10)
;
1+ϕ (1 + ϕ)2
t=j+2 k2 =1 k2 =1
and
T T −j−2 −j−2
TX
X 1−ϕ X 1
ak2 ϕj+k2 (T − 1 − j − k2 ) − ak2 ϕ2+k2 +j − ϕ2T −k2 −j (C.11)
A6tj = 2
.
1+ϕ (1 + ϕ)
t=j+2 k2 =0 k2 =0
−j−2
TX
1−ϕ 1 ϕ2 − ϕ2T −2k
= ak (1{j = k} 1 + −
1 + ϕ (1 + ϕ)2 T − j − 1
k=0
1 − ϕ j−k 1 ϕ2+j−k − ϕ2T −k−j
+1{k < j} (ϕ − 1)ϕj−1−k + ϕ −
1+ϕ (1 + ϕ)2 T −j−1
T −k 1 − ϕ k−j T − k − 1 1 ϕ2+k−j − ϕ2T −k−j
+1{k > j} (ϕ − 1)ϕk−1−j + ϕ −
T −1−j 1+ϕ T −1−j (1 + ϕ)2 T −j−1
T − k − j 1 − ϕ k+j T − k − 1 − j 1 ϕ 2+k+j − ϕ2T −k−j
+(ϕ − 1)ϕk−1+j + ϕ −
T −1−j 1+ϕ T −1−j (1 + ϕ)2 T −j−1
T
X −1
+O (ϕ − 1) |ak | . (C.12)
k=T −j−1
30
It follows that
T
1 X
Ex̀t,t
p(T − 1)
t=2
T −1 T −2
tr(Σ1/2 (I − H)Σ1/2 ) X 2(ϕ − 1)ϕk−1 (T − k) 1−ϕ X k T −k−1
= a0 + ak + 2 ϕ ak
p T −1 1+ϕ T −1
k=1 k=1
T −2
1 X ϕ2+k − ϕ2T −k 1−ϕ ϕ2 − ϕ2T
−2 ak + a0 − a0 . (C.14)
(1 + ϕ)2 T −1 1+ϕ 2
(1 + ϕ) (T − 1)
k=1
Write E µ̀m as
∞
tr(Σ1/2 (I − H)Σ1/2 ) X
E µ̀m = κj aj . (C.15)
p
j=0
and
m m
X 2ϕ X 1−ϕ
1+2 (ϕ − 1)ϕj−1 < κ0 ≤ 1 + (ϕ − 1)ϕj−1 + . (C.17)
1+ϕ 1+ϕ
j=1 j=1
It follows that
|1 − κ0 | = O m(1 − ϕ) . (C.18)
31
Similarly, for 1 ≤ f ≤ m,
T −f 1−ϕ fT −f −1 ϕ2+f − ϕ2T −f
κf /2 = (ϕ − 1)ϕf −1 + ϕ −
T −1 1+ϕ T −1 (1 + ϕ)2 (T − 1)
1−ϕ ϕ2 − ϕ2T −2f
+1 + −
1 + ϕ (1 + ϕ)2 (T − f − 1)
m
X ϕ2+j−f − ϕ2T −j−f
j−1−f 1 − ϕ j−f 1
+ (ϕ − 1)ϕ + ϕ −
1+ϕ (1 + ϕ)2 T −j−1
j=f +1
f −1
ϕ2+f −j − ϕ2T −j−f
X
f −1−j T −f 1 − ϕ f −j T − f − 1 1
+ (ϕ − 1)ϕ + ϕ −
T −1−j 1+ϕ T −1−j (1 + ϕ)2 T −j−1
j=1
m
ϕ2+f +j − ϕ2T −j−f
X T − f − j 1 − ϕ f +j T − f − j − 1 1
+ (ϕ − 1)ϕf −1+j + ϕ − 2
T −1−j 1+ϕ T −1−j (1 + ϕ) T −j−1
j=1
m
X 1 ϕ2+|f −j| − ϕ2T −j−f m2 (1 − ϕ)
− + O
(1 + ϕ)2 T −1 T
j=1
and
∞ ∞
X maxj>m {|κj |} X
|κj ||aj | ≤ j|aj | = O(1 − ϕ). (C.21)
m+1
j=m+1 j=m+1
Then
∞
tr(Σ1/2 (I − H)Σ1/2 ) X
E µ̀m = κ0 (a0 + 2 aj ) + o(m(1 − ϕ)) + O(1 − ϕ). (C.22)
p
j=1
Write
κ(θϕ,1 ) − κ0 (C.25)
m
ϕ3 − ϕ2T −m 2ϕm ϕ2 − ϕ2T X 1 ϕ2+j − ϕ2T −j m2 (1 − ϕ)
= ϕm − m − + +2 + O .
2(T − 1) 1 + ϕ (1 + ϕ)2 (T − 1) (1 + ϕ)2 T −1 T
j=1
32
Note that
2ϕm 1−ϕ
ϕm − = ϕm = O(1 − ϕ), (C.26)
1+ϕ 1+ϕ
ϕ2 − ϕ2T
= O(1 − ϕ), (C.27)
(1 + ϕ)2 (T − 1)
m
ϕ3 − ϕ2T −m X 1 ϕ2+j − ϕ2T −j m2 (1 − ϕ)
m −2 = O (C.28)
2(T − 1) (1 + ϕ)2 T −1 T
j=1
and
m2 (1 − ϕ)
= o m(1 − ϕ) . (C.29)
T
(C.25)-(C.29) imply (A.4). (C.22)-(C.24) and (A.4) imply (A.5).
We also replace x̀t,s by x̆t,s in S̀σ2 ,0 and S̀σ2 ,m and get Sσ2 ,0 and Sσ2 ,m . In fact the differences
between S̀σ2 ,0 and Sσ2 ,0 are the ones between Σ1/2 (I − H)Σ1/2 and Σ. So we just need to study
Sσ2 ,0 and Sσ2 ,m then replace Σ by Σ1/2 (I − H)Σ1/2 .
. We rewrite (xt − xt−1 ) as follows
t−2
!
X
1/2 k
xt − xt−1 = Σ yt + (ϕ − 1) ϕ yt−k−1 (C.30)
k=0
∞ t−2 ∞
!
X X X
= Σ1/2 bs Zt−s + (ϕ − 1) ϕk bs Zt−1−k−s
s=0 k=0 s=0
t t−2 t−1−k
!
X X X
1/2 k
=Σ bt−s Zs + (ϕ − 1) ϕ bt−1−k−s Zs
s=−∞ k=0 s=−∞
t−1 t−1−s 0 t−2
!
X X X X
1/2 k k
=Σ b0 Zt + bt−s + (ϕ − 1) ϕ bt−1−k−s Zs + bt−s + (ϕ − 1) ϕ bt−1−k−s Zs .
s=1 k=0 s=−∞ k=0
so that
t
X ∞
X
xt − xt−1 = Σ1/2 b̆t,s Zs = Σ1/2 b̆t,s Zs . (C.32)
s=−∞ s=−∞
33
Then
2
p X
X p ∞
X ∞
X
x̆2f,g = Σij b̆f,h1 b̆g,h2 Zh1 ,i Zh2 ,j (C.33)
i=1 j=1 h1 =−∞ h2 =−∞
p
X p
X p
X p
X ∞
X ∞
X ∞
X ∞
X
= Σi1 j1 Σi2 j2 b̆f,h1 b̆g,h2 b̆f,h3 b̆g,h4 Zh1 ,i1 Zh2 ,j1 Zh3 ,i2 Zh4 ,j2 .
i1 =1 j1 =1 i2 =1 j2 =1 h1 =−∞ h2 =−∞ h3 =−∞ h4 =−∞
[T /2] T p X
p ∞ ∞
1 X X X X X
Sσ2 ,0,h = 3 2 Σii Σij
(T − 2 [T /2])([T /2] − 1) f =2 i=1 j=1 h1 =−∞ h2 =−∞
g=f +[T /2]
Xp ∞
X
Zh31 ,i Zh2 ,j (b̆2f,h1 b̆g,h1 b̆g,h2 + b̆f,h1 b̆f,h2 b̆2g,h1 ) − 3 Σii 2 4 2
b̆f,h b̆2g,h .
Zh,i (C.34)
i=1 h=−∞
When h2 ≤ g
g
X ∞
X
|b̆g,h2 | ≤ 2 |bs | < ∞. (C.36)
h2 =−∞ s=0
When h1 ≤ f ≤ g − [T /2]
T
X ∞
X ∞
X
|b̆g,h1 | ≤ |bs | + |bs |T (1 − ϕ) = o(T −1 ) + O (T (1 − ϕ)) < ∞ (C.37)
g=f +[T /2] s=[T /2] s=0
and 2
f
X f
X
b̆2f,h1 ≤ |b̆f,h1 | < ∞. (C.38)
h1 =−∞ h1 =−∞
Moreover,
v
p X
p
u p X
p
X uX
p
|Σii Σij | ≤ max {|Σii |}t Σij 2 p2 = max {|Σii |}p tr(Σ2 ) = O(p3/2 ). (C.39)
1≤i≤p 1≤i≤p
i=1 j=1 i=1 j=1
34
and
p
X ∞
X
Σii 2 b̆2f,h b̆2g,h = O(p).
i=1 h=−∞
Similarly write
[T /2] T
1 X X
ESσ2 ,0,l = (C.41)
(T − 32 [T /2])([T /2] − 1) f =2
g=f +[T /2]
X p
p X ∞
X ∞
X X p X p ∞
X ∞
X
Σ2ij b̆2f,h1 b̆2g,h2 + Σ2ij
b̆f,h1 b̆g,h2 b̆f,h2 b̆g,h1
i=1 j=1 h1 =−∞ h2 =−∞ i=1 j=1
h1 =−∞ h2 =−∞
Xp X p X∞ ∞
X Xp X∞
Σ2ii b̆2f,h b̆2g,h .
+ Σii Σjj b̆f,h1 b̆g,h1 b̆f,h2 b̆g,h2 − 3
i=1 j=1 h1 =−∞ h2 =−∞ i=1 h=−∞
Note that
∞
X ∞
X ∞
X
| b̆f,h b̆g,h − ag−f | = | b̆f,h b̆g,h − bs bg−f +s | = O(1 − ϕ) (C.42)
h=−∞ h=−∞ s=0
and
∞
X ∞
X ∞
X
| b̆2f,h − a0 | = | b̆2f,h − b2s | = O(1 − ϕ). (C.43)
h=−∞ h=−∞ s=0
[TP
/2] T p P
p ∞ ∞
Σ2ij
P P P P
b̆f,h1 b̆g,h2 b̆f,h2 b̆g,h1
f =2 g=f +[T /2] i=1 j=1 h1 =−∞ h2 =−∞
(T − 32 [T /2])([T /2] − 1)
[T /2] T
tr(Σ2 ) X X
a2g−f + O(ag−f (1 − ϕ)) + O((1 − ϕ)2 )
=
(T − 32 [T /2])([T /2] − 1) f =2
g=f +[T /2]
−3 2
= O(pT + p(1 − ϕ) )
= o(T −1 + T 2 (1 − ϕ)2 ) = o(1), (C.45)
[TP
/2] T
P p P
P p ∞
P ∞
P
Σii Σjj b̆f,h1 b̆g,h1 b̆f,h2 b̆g,h2
f =2 g=f +[T /2] i=1 j=1 h1 =−∞ h2 =−∞
(T − 32 [T /2])([T /2] − 1)
[T /2] T
tr(Σ)2 X X
a2g−f + O(ag−f (1 − ϕ)) + O((1 − ϕ)2 )
=
(T − 32 [T /2])([T /2] − 1) f =2
g=f +[T /2]
2 −3
= O(p T + p (1 − ϕ) ) = o(p1/2 + pT 2 (1 − ϕ)2 ) = o(p),
2 2
(C.46)
35
and
[TP
/2] T p ∞
Σii 2 b̆2f,h b̆2g,h
P P P
f =2 g=f +[T /2] i=1 h=−∞
(T − 32 [T /2])([T /2] − 1)
p
Σii 2
P
[T /2] T f f
! !
i=1
X X X X
≤ b̆2f,h b̆2g,h
(T − 32 [T /2])([T /2] − 1) f =2 h=−∞ h=−∞
g=f +[T /2]
Sσ2 ,0 tr(Σ2 )
= a20 + op (1) (C.50)
p p
and
36