Limit theory for an explosive autoregressive process
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AbstractLarge sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process. (C) 2014 Elsevier B.V. All rights reserved.
All Author(s) ListWang XH, Yu J
Journal nameEconomics Letters
Year2015
Month1
Day1
Volume Number126
PublisherElsevier
Pages176 - 180
ISSN0165-1765
eISSN1873-7374
LanguagesEnglish-United Kingdom
KeywordsBubbles; Explosive model; Intercept; Invariance principle
Web of Science Subject CategoriesBusiness & Economics; Economics

Last updated on 2020-09-07 at 01:24