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On the First-Order Autoregressive Process with Infinite Variance

  • Chan, Ngai Hang
  • Tran, Lanh Tat
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    For a first-order autoregressive process Y = β Yt−1 + null where the null null 'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator b of β is obtained for β = 1, and the limiting distribution of b is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the null null 'S are heavy-tailed.

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    File URL: http://journals.cambridge.org/abstract_S0266466600012561
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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 5 (1989)
    Issue (Month): 03 (December)
    Pages: 354-362

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    Handle: RePEc:cup:etheor:v:5:y:1989:i:03:p:354-362_01
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