On limiting distributions in explosive autoregressive processes

The limiting distribution is obtained for the maximum likelihood estimator in the AR(p) process with a random and nonrandom normalization and all characteristic roots outside the unit circle, purely explosive process. Though these results have been in the literature, proofs have been omitted. A detailed proof of these results will be presented. With a random normalization the limiting distribution is multivariate standard normal.

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Year of publication:	1998
Authors:	Monsour, Michael J. ; Mikulski, Piotr W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 37.1998, 2, p. 141-147
Publisher:	Elsevier
Subject:	Purely explosive autoregressive process Characteristic roots Jordan normal \| canonical form

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137674