Mildly explosive autoregression with anti-persistent errors

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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Bibliographic Details
Main Authors: LUI, Yui Lim, YU, Jun, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Anti-persistence
unit root
mildly explosive
sequential limit theory
bubble
fractional integration
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2550
https://ink.library.smu.edu.sg/context/soe_research/article/3549/viewcontent/Antipersistence15.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2550
https://ink.library.smu.edu.sg/context/soe_research/article/3549/viewcontent/Antipersistence15.pdf

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