HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY

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Nonstationary panel data analysis: an overview of some recent developments (2000, background): “However, the local to unity parameter c in ,d = exp (+) cannot be consistently estimated using time series data (although the reader is referred to Phillips et al., 1998, for an alternate block local to unity model in which the consistent estimation of c is possible).”
Asymptotic confidence intervals for impulse responses of near‐integrated processes (2004, background): “Phillips et al. (2000) develop a new model of near integration that allows the identification of the localizing constant from blocks of time series data.”