Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2013
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.
Keywords
Explosive model, Intercept, Invariance principle, Bubbles
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
18
Publisher
SMU Economics and Statistics Working Paper Series, No. 08-2013
City or Country
Singapore
Citation
WANG, Xiaohu and YU, Jun.
Limit Theory for an Explosive Autoregressive Process. (2013). 1-18.
Available at: https://ink.library.smu.edu.sg/soe_research/1513
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in Economics Letters https://doi.org/10.1016/j.econlet.2014.12.004