Mildly explosive autoregression under weak and strong dependence
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References listed on IDEAS
- Aue, Alexander & Horv th, Lajos, 2007. "A Limit Theorem For Mildly Explosive Autoregression With Stable Errors," Econometric Theory, Cambridge University Press, vol. 23(02), pages 201-220, April.
- Liudas Giraitis & Peter C. B. Phillips, 2006.
"Uniform Limit Theory for Stationary Autoregression,"
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- L Giraitis & P C B Phillips, "undated". "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation for Research in Economics, Yale University.
- Magdalinos, Tassos & Phillips, Peter C.B., 2009. "Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors," Econometric Theory, Cambridge University Press, vol. 25(02), pages 482-526, April.
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- Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
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More about this item
KeywordsCentral limit theory; explosive autoregression; long memory; Cauchy distribution;
StatisticsAccess and download statistics
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