Sample path properties of an explosive double autoregressive model

DOI10.1080/07474938.2015.1092841MaRDI QIDQ5862481zbMATH OpenOpenAlexFDO

Authors

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2015.1092841

zbMATH Keywords

double AR modelexplosiongeometric Brownian motionLyapunov exponentnonstationarityrandom coefficient AR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(4)

• Strict stationarity testing and GLAD estimation of double autoregressive models
• Bayesian inference for a mixture double autoregressive model
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

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