Limit theory for explosive autoregression under conditional heteroskedasticity
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Statistical Planning and Inference"
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
Mildly Explosive Autoregression with Strong Mixing Errors
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DOI: 10.3390/e24121730
Abstract: In this paper, we consider the mildly explosive autoregression yt=ρnyt−1+ut, 1≤t≤n, where ρn=1+c/nν, c>0, ν∈(0,1), and u1,…,un are arithmetically α-mixing errors. Under some weak conditions, such as Eu1=0, E|u1|4+δ0 and mixing coefficients α(n)=O(n−(2+8/δ)), the Cauchy… read more here.
Keywords: explosive autoregression; mixing errors; mildly explosive; limiting distribution ... See more keywords