Testing for the extent of instability in nearly unstable processes

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Parametric hypothesis testing (62F03) Stable stochastic processes (60G52) Inference from stochastic processes (62Mxx)

Cites Work

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Limit theory for moderate deviations from a unit root
Asymptotic behavior of unstable INAR(\(p\)) processes
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Asymptotic inference for nearly nonstationary AR(1) processes
Trends and random walks in macroeconomic time series
Limiting distributions of least squares estimates of unstable autoregressive processes
Time series: theory and methods.
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
Unified asymptotic theory for nearly unstable AR(\(p\)) processes
Moderate deviations in a class of stable but nearly unstable processes
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
Uniform Limit Theory for Stationary Autoregression
Testing for unit roots in autoregressive-moving average models of unknown order
On the Theory of Testing for Unit Roots in Observed Time Series
Testing for a unit root in time series regression
Towards a unified asymptotic theory for autoregression
Integration Versus Trend Stationary in Time Series
Asymptotic inference for nearly unstable INAR(1) models
ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
Time Series Regression with a Unit Root
Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Fluctuation limit of branching processes with immigration and estimation of the means
Consistency and asymptotic normality in a class of nearly unstable processes
Nearly unstable integer‐valued ARCH process and unit root testing

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