Mildly explosive autoregression under weak and strong dependence

DOI10.1016/j.jeconom.2012.01.024zbMath1443.62278OpenAlexW2238061309MaRDI QIDQ527993

Tassos Magdalinos

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/08-05.pdf

zbMATH Keywords

long memoryCauchy distributioncentral limit theoryexplosive autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (15)

Double asymptotics for explosive continuous time models ⋮ Limit theory for explosive autoregression under conditional heteroskedasticity ⋮ Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Asymptotic theory for LAD estimation of moderate deviations from a unit root ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Mildly explosive autoregression with mixing innovations ⋮ Mildly explosive autoregression under weak and strong dependence ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ Periodogram ordinate: spatial model with near unit roots and dependent errors ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models ⋮ Quantile inference for moderate deviations from a unit root model with infinite variance

Cites Work

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