Mildly explosive autoregression with mixing innovations
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Publication:684059
DOI10.1016/J.JKSS.2017.09.001zbMATH Open1390.62182OpenAlexW2761798416MaRDI QIDQ684059FDOQ684059
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
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Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Asymptotic inference for nearly nonstationary AR(1) processes
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limit theory for moderate deviations from a unit root
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Time Series Regression with a Unit Root
- Title not available (Why is that?)
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- A limit theorem for mildly explosive autoregression with stable errors
- Uniform Limit Theory for Stationary Autoregression
- Mildly explosive autoregression under weak and strong dependence
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Approximation theorems for strongly mixing random variables
- Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
- A class of threshold autoregressive conditional heteroscedastic models
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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