Mildly explosive autoregression with anti-persistent errors
An asymptotic distribution is derived for the least squares (LS) estimate of a first‐order autoregression with a mildly explosive root and anti‐persistent errors. While the sample moments depend on the Hurst parameter asymptotically, the Cauchy limiting distribution theory remains valid for the LS e...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2434 https://ink.library.smu.edu.sg/context/soe_research/article/3433/viewcontent/Antipersistence15_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |