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Mildly explosive autoregression under weak and strong dependence

Mildly explosive autoregression under weak and strong dependence
Mildly explosive autoregression under weak and strong dependence
A limit theory is developed for mildly explosive autoregression under both weakly and strongly dependent innovation errors. The asymptotic behaviour of the sample moments is affected by the memory of the innovation process both in the form of the limiting distribution and, in the case of long range dependence, in the rate of convergence. However, this effect is not present in least squares regression theory as it is cancelled out by the interaction between the sample moments. As a result, the Cauchy regression theory of Phillips and Magdalinos (2007a) is invariant to the dependence structure of the innovation sequence.
central limit theory, explosive autoregression, long memory, cauchy distribution
0304-4076
179-187
Magdalinos, Tassos
ded74727-1ed4-417d-842f-00ea86a3bc31
Magdalinos, Tassos
ded74727-1ed4-417d-842f-00ea86a3bc31

Magdalinos, Tassos (2012) Mildly explosive autoregression under weak and strong dependence. [in special issue: Recent Advances in Nonstationary Time Series: a Festschrift in honor of Peter C.B. Phillips] Journal of Econometrics, 169 (2), 179-187. (doi:10.1016/j.jeconom.2012.01.024).

Record type: Article

Abstract

A limit theory is developed for mildly explosive autoregression under both weakly and strongly dependent innovation errors. The asymptotic behaviour of the sample moments is affected by the memory of the innovation process both in the form of the limiting distribution and, in the case of long range dependence, in the rate of convergence. However, this effect is not present in least squares regression theory as it is cancelled out by the interaction between the sample moments. As a result, the Cauchy regression theory of Phillips and Magdalinos (2007a) is invariant to the dependence structure of the innovation sequence.

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e-pub ahead of print date: 25 January 2012
Published date: August 2012
Keywords: central limit theory, explosive autoregression, long memory, cauchy distribution
Organisations: Economics

Identifiers

Local EPrints ID: 187609
URI: https://eprints.soton.ac.uk/id/eprint/187609
ISSN: 0304-4076
PURE UUID: f8904258-9f39-43d6-942c-9e8571644e59

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Date deposited: 18 May 2011 07:22
Last modified: 18 Jul 2017 11:44

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