Limit theory for an explosive autoregressive process

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 126
Issue: C
Pages: 176-180

Authors (2)

Wang, Xiaohu (not in RePEc) Yu, Jun (University of Macau)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process.

Technical Details

RePEc Handle
repec:eee:ecolet:v:126:y:2015:i:c:p:176-180
Journal Field
General
Author Count
2
Added to Database
2026-01-29