Limit theory for an explosive autoregressive process
DOI10.1016/J.ECONLET.2014.12.004zbMATH Open1321.62111OpenAlexW2063764360MaRDI QIDQ498795FDOQ498795
Authors: Xiaohu Wang, Jun Yu 
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1513
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Cites Work
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- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Time Series Regression with a Unit Root
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
Cited In (22)
- Asymptotic Theory and Unified Confidence Region for an Autoregressive Model
- Testing for explosive bubbles: a review
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Double asymptotics for explosive continuous time models
- Statistical inference in a random coefficient panel model
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
- Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
- Testing for strict stationarity in a random coefficient autoregressive model
- LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
- Testing for randomness in a random coefficient autoregression model
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
- Limit theory for mildly integrated process with intercept
- Limit theorems on a linear explosive stochastic model for time series with moving average error
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- On the sample variance of explosive random coefficient autoregressive processes
- Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Slow-explosive AR(1) processes converging to random walk
- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
- Asymptotic theory for rough fractional Vasicek models
- ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING
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