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On limiting distributions in explosive autoregressive processes

โœ Scribed by Michael J. Monsour; Piotr W. Mikulski

Book ID
104302707
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
307 KB
Volume
37
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

The limiting distribution is obtained for the maximum likelihood estimator in the AR(p) process with a random and nonrandom normalization and all characteristic roots outside the unit circle, purely explosive process. Though these results have been in the literature, proofs have been omitted. A detailed proof of these results will be presented. With a random normalization the limiting distribution is multivariate standard normal.

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โœ Terence Tai-Leung Chong; Wai-Kit Leung ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 220 KB

This work investigates the behavior of the sample variance of an explosive random coefficient autoregressive process y t = (a + u t )y t-1 + ฮต t . It is shown that the simulated sample variance has a distribution when a 2 < 1 and a 2 +ฯƒ 2 u = 1. Moreover, the variance of y t when a = -1 is found to