Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058784 | Economics Letters | 2015 | 5 Pages |
Abstract
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process.
Related Topics
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Authors
Xiaohu Wang, Jun Yu,