The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited In (only showing first 100 items - show all)

Asymptotic results for polygonal processes related to an autoregression
Offline and online weighted least squares estimation of nonstationary power ARCH processes
Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
Exponential inequalities for self-normalized martingales with applications
Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process
Mildly explosive autoregression with mixing innovations
Priors for unit root models
The exact moments of OLS in dynamic regression models with non-normal errors
Parameter estimation for nearly nonstationary AR(1) processes
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Decomposition of an autoregressive process into first order processes
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
On the non-existence of a Bartlett correction for unit root tests
Maximum likelihood estimators in regression models with infinite variance innovations
Double asymptotics for explosive continuous time models
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Integrated functionals of normal and fractional processes
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Limit theory for an explosive autoregressive process
Uniform asymptotic normality in stationary and unit root autoregression
Mildly explosive autoregression under weak and strong dependence
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Adjusted estimates and Wald statistics for the AR(1) model with constant
Asymptotic properties of dynamic stochastic parameter estimates. III
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
Asymptotic inference for near unit roots in spatial autoregression
Tests for nonlinear cointegration
On the bias of the OLS estimator in a nonstationary dynamic panel data model
Predictors for the first-order autoregressive process
Smoothing local-to-moderate unit root theory
On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\)
Asymptotic inference for semimartingale models with singular parameter points
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
QML estimators in linear regression models with functional coefficient autoregressive processes
Gauss-Newton estimation of parameters for a spatial autoregression model
Unit root and cointegrating limit theory when initialization is in the infinite past
On the bias of the least squares estimator for the first order autoregressive process
The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
On parameter estimation for critical affine processes
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
Asymptotics of regressions with stationary and nonstationary residuals.
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Editor's introduction: Analysis of financial data
Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
A new estimator for the unit root
Information quantities in non-classical settings
Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
A note on unit root tests with heavy-tailed GARCH errors
Deviation probability bound for martingales with applications to statistical estimation
A general framework for the parametrization of hierarchical models
From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
A limit theorem for mildly explosive autoregression with stable errors
Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
Curved exponential families of stochastic processes and their envelope families
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
Limit theory for moderate deviations from a unit root
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
On convergence of multivariate Laplace transforms
Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case
A class of simple distribution-free rank-based unit root tests
A small sample confidence interval for autoregressive parameters
CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
Asymptotic inference for an unstable spatial AR model
Large and moderate deviations upper bounds for the Gaussian autoregressive process
Forecasting and testing in co-integrated systems
Summability of stochastic processes -- a generalization of integration for non-linear processes
Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
I Got More Data, My Model is More Refined, but My Estimator is Getting Worse! Am I Just Dumb?
Testing for explosive bubbles: a review
Sequential fixed accuracy estimation for nonstationary autoregressive processes
Explosive strong periodic autoregression with multiplicity one
On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
Semiparametrically point-optimal hybrid rank tests for unit roots
Weighted Dickey-Fuller processes for detecting stationarity
Hybrid stochastic local unit roots
Time Series Approach to the Evolution of Networks: Prediction and Estimation
Model Selection for Volatility Prediction
On attainable Cramèr-Rao type lower bounds for weighted loss functions
Nearly unstable AR models with coefficient matrices in Jordan normal form
Least absolute deviation estimation for AR(1) processes with roots close to unity
Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
A comparison of LS/ML and GMM estimation in a simple AR(1) model
Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
Large deviations for the Yule-Walker estimator of near critical autoregressive processes
New insights on concentration inequalities for self-normalized martingales
Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
Least Squares Bias in Time Series with Moderate Deviations from a Unit Root
Asymptotic properties of nearly unstable multivariate AR processes.
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Asymptotic properties of mildly explosive processes with locally stationary disturbance
An exponential inequality for autoregressive processes in adaptive tracking

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