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Sample path properties of an explosive double autoregressive model

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  • Feng Liu
  • Dong Li
  • Xinmei Kang

Abstract

This article studies sample path properties of an explosive double autoregressive (DAR) model. After suitable renormalization, it is shown that the sample path converges weakly to a geometric Brownian motion. This further strengthens our understanding of sample paths of nonstationary DAR processes. The obtained results can be extended to nonstationary random coefficient autoregressive (RCA) models. Simulation studies are carried out to support our results.

Suggested Citation

  • Feng Liu & Dong Li & Xinmei Kang, 2018. "Sample path properties of an explosive double autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 37(5), pages 484-490, May.
    • Handle: RePEc:taf:emetrv:v:37:y:2018:i:5:p:484-490
    DOI: 10.1080/07474938.2015.1092841
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    Cited by:

    1. Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
    2. Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
    3. Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).

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