Mildly explosive autoregression with mixing innovations

DOI10.1016/J.JKSS.2017.09.001MaRDI QIDQ684059zbMATH OpenOpenAlexFDO

Authors Haejune Oh, Sangyeol Lee, Ngai Hang Chan

Publication date 9 February 2018

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2017.09.001

zbMATH Keywords

limit theorem for least squares estimatormildly explosive autoregressionmixing innovations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A class of threshold autoregressive conditional heteroscedastic models
• A limit theorem for mildly explosive autoregression with stable errors
• Approximation theorems for strongly mixing random variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Mildly explosive autoregression under weak and strong dependence
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Time Series Regression with a Unit Root
• Uniform Limit Theory for Stationary Autoregression

Cited in

(10)

• Explosive strong periodic autoregression with multiplicity one
• Mildly explosive autoregression under weak and strong dependence
• Limit theory for explosive autoregression under conditional heteroskedasticity
• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• Limiting mixture distributions for AR(1) model indexed by a branching process
• A limit theorem for mildly explosive autoregression with stable errors
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• Slow-explosive AR(1) processes converging to random walk
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Mildly explosive autoregression under stationary conditional heteroskedasticity

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