A limit theorem for mildly explosive autoregression with stable errors

DOI10.1017/S0266466607070090MaRDI QIDQ2886940zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Mildly explosive autoregression under weak and strong dependence
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• Limit theory for moderate deviations from a unit root

Cites work

• Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
• Asymptotic inference for nearly nonstationary AR(1) processes
• Convergence of moments and related functional in the general central limit theorem in banach spaces
• Inference for Near-Integrated Time Series With Infinite Variance
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limit theory for moderate deviations from a unit root
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Regression Theory for Near-Integrated Time Series
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Uniform Limit Theory for Stationary Autoregression

Cited in

(18)

• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• Sequential monitoring for changes from stationarity to mild non-stationarity
• Quantile inference for moderate deviations from a unit root model with infinite variance
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• Double asymptotics for explosive continuous time models
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
• Trimmed stable AR(1) processes
• Asymptotic inference of least absolute deviation estimation for AR(1) processes
• Mildly explosive autoregression under weak and strong dependence
• Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
• Least absolute deviation estimation for AR(1) processes with roots close to unity
• The limit theorem for dependent random variables with applications to autoregression models
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Robust inference in AR-G/GARCH models under model uncertainty
• Mildly explosive autoregression with mixing innovations
• Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
• Weighted composite quantile inference for nearly nonstationary autoregressive models

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