A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS

DOI10.1017/S0266466607070090zbMath1237.62108OpenAlexW2027568953MaRDI QIDQ2886940

Lajos Horváth, Alexander Aue

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070090

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (13)

Double asymptotics for explosive continuous time models ⋮ Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Trimmed stable AR(1) processes ⋮ Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient ⋮ Least absolute deviation estimation for AR(1) processes with roots close to unity ⋮ Asymptotic theory for LAD estimation of moderate deviations from a unit root ⋮ Mildly explosive autoregression with mixing innovations ⋮ Mildly explosive autoregression under weak and strong dependence ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ Sequential monitoring for changes from stationarity to mild non-stationarity ⋮ NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES ⋮ Quantile inference for moderate deviations from a unit root model with infinite variance

Cites Work

• Limit theory for moderate deviations from a unit root
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Uniform Limit Theory for Stationary Autoregression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Convergence of moments and related functional in the general central limit theorem in banach spaces
• Regression Theory for Near-Integrated Time Series
• Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
• Inference for Near-Integrated Time Series With Infinite Variance

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