Mildly explosive autoregression with anti-persistent errors

• المؤلفون الرئيسيون: LUI, Yui Lim, YU, Jun, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2021
• الموضوعات: Anti-persistence; unit root; mildly explosive; sequential limit theory; bubble; fractional integration; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2550; https://ink.library.smu.edu.sg/context/soe_research/article/3549/viewcontent/Antipersistence15.pdf

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...