Limit theory for explosive autoregression under conditional heteroskedasticity

Ji Hyung Lee

doi:10.1016/j.jspi.2017.10.008

Limit theory for explosive autoregression under conditional heteroskedasticity

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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 ρ_n satisfies n1−ρ_n→−∞,0. Combined with the existing results, we can cover the range of ρ_n such that n1−ρ_n→−∞,∞. Some results on pure explosive cases are also discussed.

Original language	English (US)
Pages (from-to)	30-55
Number of pages	26
Journal	Journal of Statistical Planning and Inference
Volume	196
DOIs	https://doi.org/10.1016/j.jspi.2017.10.008
State	Published - Aug 2018

Keywords

Asymptotics
Autoregression
Conditional heteroskedasticity
Explosive process
Generalized least squares

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

Online availability

10.1016/j.jspi.2017.10.008

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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 ρn satisfies n1−ρn→−∞,0. Combined with the existing results, we can cover the range of ρn such that n1−ρn→−∞,∞. Some results on pure explosive cases are also discussed.",

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AB - 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 ρn satisfies n1−ρn→−∞,0. Combined with the existing results, we can cover the range of ρn such that n1−ρn→−∞,∞. Some results on pure explosive cases are also discussed.

KW - Asymptotics

KW - Autoregression

KW - Conditional heteroskedasticity

KW - Explosive process

KW - Generalized least squares

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JO - Journal of Statistical Planning and Inference

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Limit theory for explosive autoregression under conditional heteroskedasticity

Abstract

Keywords

ASJC Scopus subject areas

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