A limit theorem for mildly explosive autoregression with stable errors
DOI10.1017/S0266466607070090zbMATH Open1237.62108OpenAlexW2027568953MaRDI QIDQ2886940FDOQ2886940
Authors: Alexander Aue, Lajos Horváth 
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070090
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)
Cites Work
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Asymptotic inference for nearly nonstationary AR(1) processes
- Limit theory for moderate deviations from a unit root
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Regression Theory for Near-Integrated Time Series
- Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Uniform Limit Theory for Stationary Autoregression
- Convergence of moments and related functional in the general central limit theorem in banach spaces
- Inference for Near-Integrated Time Series With Infinite Variance
- Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
Cited In (16)
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Trimmed stable AR(1) processes
- Mildly explosive autoregression with mixing innovations
- Double asymptotics for explosive continuous time models
- Mildly explosive autoregression under weak and strong dependence
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Quantile inference for moderate deviations from a unit root model with infinite variance
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Sequential monitoring for changes from stationarity to mild non-stationarity
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- The limit theorem for dependent random variables with applications to autoregression models
- Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
- Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Robust inference in AR-G/GARCH models under model uncertainty
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