Limit theory for explosive autoregression under conditional heteroskedasticity

DOI10.1016/j.jspi.2017.10.008zbMath1432.62305OpenAlexW2767220982MaRDI QIDQ1642735

Ji Hyung Lee

Publication date: 15 June 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.10.008

zbMATH Keywords

asymptoticsconditional heteroskedasticitygeneralized least squaresautoregressionexplosive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors

Cites Work

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• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Towards a unified asymptotic theory for autoregression
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
• TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS

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