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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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2015
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/1619 https://ink.library.smu.edu.sg/context/soe_research/article/2618/viewcontent/Yu_EL_2015.pdf |
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