Hwang, S.Y. - In: Statistics & Probability Letters 83 (2013) 1, pp. 127-134
This article is concerned with a broad class of explosive AR(1) models. Allowing stationary dependence on the error process, we do not restrict ourselves to independent and identically distributed errors. The model accommodates, as special cases, GARCH errors, AR(1) errors and Gaussian ARMA...