Sample path properties of an explosive double autoregressive model

DOI10.1080/07474938.2015.1092841zbMath1490.62258OpenAlexW2321500174MaRDI QIDQ5862481

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Publication date: 9 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2015.1092841

zbMATH Keywords

Lyapunov exponentnonstationaritygeometric Brownian motionexplosiondouble AR modelrandom coefficient AR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Bayesian inference for a mixture double autoregressive model ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models

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