Limit theory for explosive autoregression under conditional heteroskedasticity
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DOI: 10.1016/j.jspi.2017.10.008
Abstract: Abstract This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t -statistics, heteroskedasticity-consistent t -statistics and GLS t -statistics are derived for nonstationary local-to-unity and mildly explosive roots,… read more here.
Keywords: theory explosive; autoregression; autoregression conditional; heteroskedasticity ... See more keywords