OLS limit theory for drifting sequences of parameters on the explosive side of unity

Saved in:

Authors and Corporations:

Magdalinos, Tassos (Author), Petrova, Katerina (Author)

Other Authors:

Petrova, Katerina [Author]

Type of Resource:

E-Book

Language:

English

published:

[New York, NY] Federal Reserve Bank of New York [2024]

Series:

Subjects:

triangular array

explosive autoregression

linear process

conditional heteroskedasticity

mixingale

Cauchy distribution

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Description
Summary:	A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn → ρ ∈ (-∞, -1] ∪ [1, ∞) and n (\|ρn\| -1) → ∞. Drifting sequences of innovations and initial conditions are also considered. A standard specification of a short memory linear process for the autoregressive innovations is extended to a triangular array formulation both for the deterministic weights and for the primitive innovations of the linear process, which are allowed to be heteroskedastic L1-mixingales. The paper provides conditions that guarantee the validity of Cauchy limit distribution for the OLS estimator and standard Gaussian limit distribution for the t-statistic under this extended explosive and mildly explosive framework.
Physical Description:	1 Online-Ressource (circa 48 Seiten)
DOI:	10.59576/sr.1113