Consistent estimation and order selection for non-stationary autoregressive processes with stable innovations
نویسندگان
چکیده
A possibly non-stationary autoregressive process, of unknown finite order, with possibly infinite-variance innovations is studied. The Ordinary Least Squares autoregressive parameter estimates are shown to be consistent, and their rate of convergence, which depends on the index of stability, α, is established. We also establish consistency of lag-order selection criteria in the non-stationary case. A small experiment illustrates the relative performance of different lag-length selection criteria in finite samples.
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