Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

Statistics and Probability Letters - Tập 79 - Trang 2476-2483 - 2009
Daisuke Nagakura

Tài liệu tham khảo

Aue, 2006, Estimation in random coefficient autoregressive models, J. Time Ser. Anal., 27, 61, 10.1111/j.1467-9892.2005.00453.x Berkes, 2009, Estimation in nonstationary random coefficient autoregressive models, J. Time Ser. Anal., 30, 395, 10.1111/j.1467-9892.2009.00615.x Bleaney, 2003, Real exchange rate dynamics under the current float: A re-examination, Manchester School, 71, 156, 10.1111/1467-9957.00341 Bleaney, 1999, Mean reversion of real exchange rates in high-inflation countries, South. Econ. J., 65, 839, 10.2307/1061279 Brandt, 1986, The stochastic equation Yn+1=AnYn+Bn with stationary coefficients, Adv. Appl. Probab., 18, 211, 10.2307/1427243 Dickey, 1979, Distribution of the estimators for auto-regressive time series with a unit root, J. Amer. Statist. Assoc.., 72, 427, 10.2307/2286348 Granger, 1997, An introduction to stochastic unit-root processes, J. Economet., 80, 35, 10.1016/S0304-4076(96)00016-4 Hwang, 2005, Explosive random-coefficient AR(1) processes and related asymptotics for least-squares estimation, J. Time Ser. Anal., 26, 807, 10.1111/j.1467-9892.2005.00432.x Hwang, 2006, Least squares estimation for critical random coefficient first-order autoregressive processes, Statist. Probab. Lett., 76, 310, 10.1016/j.spl.2005.08.024 Lee, 1998, Coefficient constancy test in a random coefficient autoregressive model, J. Statist. Plann. Inference, 74, 93, 10.1016/S0378-3758(98)00095-0 McCabe, 1995, Testing a time series for difference stationary, Ann. Statist., 23, 1015, 10.1214/aos/1176324634 Nagakura, 2009, Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process, J. Statist. Plann. Inference, 139, 2731, 10.1016/j.jspi.2008.12.009 Nicholls, 1982 Quinn, 1982, A note on the existence of strictly stationary solutions to bilinear equations, J. Time Ser. Anal., 3, 249, 10.1111/j.1467-9892.1982.tb00348.x Shorack, 2000 Sollis, 2000, Stochastic unit roots modelling of stock price indices, Appl. Financ. Econ., 10, 311, 10.1080/096031000331716 van der Vaart, 1998