Publication Type
Journal Article
Version
acceptedVersion
Publication Date
1-2015
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 | Economics
Research Areas
Econometrics
Publication
Economic Letters
Volume
126
First Page
176
Last Page
180
ISSN
0165-1765
Identifier
10.1016/j.econlet.2014.12.004
Publisher
Elsevier
Citation
WANG, Xiaohu and YU, Jun.
Limit theory for an explosive autoregressive process. (2015). Economic Letters. 126, 176-180.
Available at: https://ink.library.smu.edu.sg/soe_research/1619
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2014.12.004