Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2021
Abstract
An asymptotic distribution is derived for the least squares (LS) estimate of a first-order autoregression with a mildly explosive root and anti-persistent errors. While the sample moments depend on the Hurst parameter asymptotically, the Cauchy limiting distribution theory remains valid for the LS estimates in the model without intercept and a model with an asymptotically negligible intercept. Monte Carlo studies are designed to check the precision of the Cauchy distribution in finite samples. An empirical study based on the monthly NASDAQ index highlights the usefulness of the model and the new limiting distribution.
Keywords
Anti-persistence, unit root, mildly explosive, sequential limit theory, bubble, fractional integration
Discipline
Econometrics
Research Areas
Econometrics
Publication
Oxford Bulletin of Economics and Statistics
Volume
83
Issue
2
First Page
518
Last Page
539
ISSN
0305-9049
Identifier
10.1111/obes.12395
Publisher
Wiley: 24 months
Citation
LUI, Yui Lim; YU, Jun; and Jun YU.
Mildly explosive autoregression with anti-persistent errors. (2021). Oxford Bulletin of Economics and Statistics. 83, (2), 518-539.
Available at: https://ink.library.smu.edu.sg/soe_research/2550
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.
Additional URL
https://doi.org/10.1111/obes.12395