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 |
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Institutional Knowledge at Singapore Management University
2021
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Subjects: | |
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 |
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