A limit theorem for mildly explosive autoregression with stable errors
type: Item
instance of: scholarly article
zbMATH Open document ID: 1237.62108
DOI: 10.1017/S0266466607070090
author: Alexander Aue
author: Lajos Horváth
published in: Econometric Theory
publication date: 2012-05-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62H20
zbMATH DE Number: 6035245
MaRDI profile type: Publication
cites work: Inference for Near-Integrated Time Series With Infinite Variance
cites work: The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
cites work: Limit theory for moderate deviations from a unit root
cites work: Regression Theory for Near-Integrated Time Series
cites work: Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
cites work: Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
cites work: Uniform Limit Theory for Stationary Autoregression
cites work: Convergence of moments and related functional in the general central limit theorem in banach spaces
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Limiting distributions of least squares estimates of unstable autoregressive processes
cites work: Asymptotic inference for nearly nonstationary AR(1) processes
cites work: On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
full work available at URL: s0266466607070090
OpenAlex ID: W2027568953
title: A limit theorem for mildly explosive autoregression with stable errors
description: scientific article; zbMATH DE number 6035245