The authors consider the time series regression model where the error term follows a nonstable autoregressive process and present a general approach for delivering the limiting distribution of a normalized estimator for the autoregressive parameter. The present approach is quite straightforward...

Let Rn-p, (n), Gl(p) and +(p) denote respectively the set of n-p matrices, the set of n-n orthogonal matrices, the set of p-p nonsingular matrices and the set of p - p positive definite matrices. In this paper, it is first shown that a bijective and bimeasurable transformation (BBT) g on...