Limit theory for an explosive autoregressive process
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Publication:498795
DOI10.1016/j.econlet.2014.12.004zbMath1321.62111OpenAlexW2063764360MaRDI QIDQ498795
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1513
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)
Related Items (12)
Double asymptotics for explosive continuous time models ⋮ Statistical inference in a random coefficient panel model ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING ⋮ Testing for explosive bubbles: a review ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Limit theory for mildly integrated process with intercept ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model ⋮ Testing for strict stationarity in a random coefficient autoregressive model
Cites Work
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- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Time Series Regression with a Unit Root
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
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