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
Citation
LUI, Yiu Lim; XIAO, Weilin; and YU, Jun.
Mild-explosive and local-to-mild-explosive autoregressions with serially correlated errors. (2018). 1-26.
Available at: https://ink.library.smu.edu.sg/soe_research/2222
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.