Publication Type

Working Paper

Version

publishedVersion

Publication Date

3-2023

Abstract

This paper proposes estimators for the parameters of an explosive fractional Ornstein-Uhlenbeck process. The asymptotic properties for the diffusion estimators are developed under the in-fill asymptotic scheme, while the asymptotic properties for the drift estimators are developed under the double asymptotic scheme for the full range of the Hurst parameter. Simulation results demonstrate the effectiveness of the proposed estimators, and the asymptotic distributions provide a good approximation in finite samples. Empirical applications are presented to demonstrate the model’s usefulness and the practical value of the asymptotic theory.

Keywords

Explosive process, Hurst parameter, Long memory, Anti-persistency, Double asymptotics, In-fill asymptotics

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

85

Publisher

Paper No. 07-2023

Included in

Econometrics Commons

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