Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7547155 | Journal of Statistical Planning and Inference | 2018 | 26 Pages |
Abstract
This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t-statistics, heteroskedasticity-consistent t-statistics and GLS t-statistics are derived for nonstationary local-to-unity and mildly explosive roots, in which Ïn satisfies n1âÏnâââ,0. Combined with the existing results, we can cover the range of Ïn such that n1âÏnâââ,â. Some results on pure explosive cases are also discussed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Ji Hyung Lee,