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

DOI10.1007/s42952-019-00032-wzbMath1484.62114OpenAlexW3005960233MaRDI QIDQ2131930

Haejune Oh, Tae Yoon Kim, Sun Young Hwang

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-019-00032-w

zbMATH Keywords

least square estimatornon-identical distributionexplosive \(\mathrm{AR}(1)\) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Limit theory for moderate deviations from a unit root
• Limit theory for explosive autoregression under conditional heteroskedasticity
• Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Slow-explosive AR(1) processes converging to random walk
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

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