Limit theory for an explosive autoregressive process
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Publication:498795
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Cites work
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Time Series Regression with a Unit Root
Cited in
(27)- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Limit theorems on a linear explosive stochastic model for time series with moving average error
- Double asymptotics for explosive continuous time models
- Statistical inference in a random coefficient panel model
- Testing for randomness in a random coefficient autoregression model
- Asymptotic theory and unified confidence region for an autoregressive model
- Asymptotic inference for \(\mathrm{AR}(1)\) panel data
- Sample path properties of an explosive double autoregressive model
- Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Testing for strict stationarity in a random coefficient autoregressive model
- Estimating structural parameters in regression models with adaptive learning
- Limit theory for mildly integrated process with intercept
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Slow-explosive AR(1) processes converging to random walk
- On the sample variance of explosive random coefficient autoregressive processes
- Limit theory for explosive autoregression under conditional heteroskedasticity
- Testing for explosive bubbles: a review
- Asymptotic theory for rough fractional Vasicek models
- Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
- LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
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