OLS limit theory for drifting sequences of parameters on the explosive side of unity

A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn Ç ρ ∈ (-É, -1] ∪ [1, É) and n (

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Year of publication:	2024
Authors:	Magdalinos, Tassos ; Petrova, Katerina
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	triangular array \| explosive autoregression \| linear process \| conditional heteroskedasticity \| mixingale \| Cauchy distribution

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Series:	Staff Reports ; 1113
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.59576/sr.1113 [DOI] 1900829215 [GVK] hdl:10419/302211 [Handle]
Classification:	C12 - Hypothesis Testing ; c18 ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10015054281