On the sample variance of explosive random coefficient autoregressive processes

✍ Scribed by Terence Tai-Leung Chong; Wai-Kit Leung

• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 220 KB
• Volume: 24
• Category: Article
• ISSN: 0893-9659
• DOI: 10.1016/j.aml.2011.05.046

✦ Synopsis

This work investigates the behavior of the sample variance of an explosive random coefficient autoregressive process y t = (a + u t )y t-1 + ε t . It is shown that the simulated sample variance has a distribution when a 2 < 1 and a 2 +σ 2 u = 1. Moreover, the variance of y t when a = -1 is found to be three times larger as compared with the case where a = 1.