Mildly Explosive Autoregression with Anti‐persistent Errors*
نویسندگان
چکیده
منابع مشابه
A Limit Theorem for Mildly Explosive Autoregression with Stable Errors
We 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 α–stable law, α ∈ (0, 2]. Therein, the autoregressive coefficient ρ = ρn > 1 is assumed to satisfy the condition ρn → 1 such that n(ρn − 1) → ∞ as n → ∞. In contrast to the vast majority of existing literature in the area, no sp...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2020
ISSN: 0305-9049,1468-0084
DOI: 10.1111/obes.12395