Mild-explosive and local-to-mild-explosive autoregressions with serially correlated errors

Mild-explosive and local-to-mild-explosive autoregressions with serially correlated errors

This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips...

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Bibliographic Details
Main Authors: LUI, Yiu Lim, XIAO, Weilin, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Anti-persistent
Unit root
Mildly explosive
Limit theory
Bubble
Fractional integration
Young integral
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2222
https://ink.library.smu.edu.sg/context/soe_research/article/3221/viewcontent/Antipersistence15_.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips, Magdalinos and Giraitis (2010) by allowing for serially correlated errors of various forms in local-to-mild-explosive autoregressive models. It is shown that the result of smooth transition in the limit theory between local-to-unity and mild-explosiveness remains valid for the LS estimator. Finally, the limit theory for autoregression with intercept is developed.

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