Publication Type

Working Paper

Version

publishedVersion

Publication Date

12-2018

Abstract

This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips, Magdalinos and Giraitis (2010) by allowing for serially correlated errors of various forms in local-to-mild-explosive autoregressive models. It is shown that the result of smooth transition in the limit theory between local-to-unity and mild-explosiveness remains valid for the LS estimator. Finally, the limit theory for autoregression with intercept is developed.

Keywords

Anti-persistent, Unit root, Mildly explosive, Limit theory, Bubble, Fractional integration, Young integral

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

26

Publisher

SMU Economics and Statistics Working Paper Series, Paper No. 22-2018

City or Country

Singapore

Copyright Owner and License

Authors

Included in

Econometrics Commons

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