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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| 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 |