A Limit Theorem For Mildly Explosive Autoregression With Stable Errors
AbstractWe discuss the limiting behavior of the serial correlation coefficient in mildly explosive autoregression, where the error sequence is in the domain of attraction of an -stable law, (0,2 . Therein, the autoregressive coefficient = n 1 is assumed to satisfy the condition n 1 such that n( n 1) as n . In contrast to the vast majority of existing literature in the area, no specific form of is required. We show that the serial correlation coefficient converges in distribution to a ratio of two independent stable random variables.The authors thank P.C.B. Phillips and two anonymous referees for a very careful reading of the manuscript, pointing out several mistakes, and providing shorter and simpler proofs. This research was partially supported by NATO grant PST.EAP.CLG 980599 and NSF-OTKA grant INT-0223262. This work was done while the first author was at the University of Utah.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 23 (2007)
Issue (Month): 02 (April)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Magdalinos, Tassos, 2012. "Mildly explosive autoregression under weak and strong dependence," Journal of Econometrics, Elsevier, vol. 169(2), pages 179-187.
- Tassos Magdalinos, 2008. "Mildly explosive autoregression under weak and strong dependence," Discussion Papers 08/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
- Zhou, Zhiyong & Lin, Zhengyan, 2014. "Asymptotic theory for LAD estimation of moderate deviations from a unit root," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 25-32.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.