Limit Theory for an Explosive Autoregressive Process
Large 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 distribu...
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Main Authors: | , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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Online Access: | https://ink.library.smu.edu.sg/soe_research/1513 https://ink.library.smu.edu.sg/context/soe_research/article/2512/viewcontent/08_2013.pdf |
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Institution: | Singapore Management University |
Language: | English |