Question: Take the AR(1) model Yt Yt1 et with i.i.d. et and the least squares estimator b. In Chaper 14 we learned that the asymptotic

Take the AR(1) model Yt Æ ®Yt¡1 Ået with i.i.d. et and the least squares estimator b®. In Chaper 14 we learned that the asymptotic distribution when j®j Ç 1 is p

n (b®

¡®) ¡!

d N

0,1¡®2¢

. How do you reconcile this with Theorem 16.9, especially for ® close to one?

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