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초록
Anderson (The Annals of Mathematical Statistics 30(3):676-687, 1959) studied the limiting distribution of the least square estimator for explosiveAR(1) process under the independent and identically distributed (iid) condition on error i.e., Xt =.Xt- 1 + et where. > 1 and et is iid error with Ee = 0 and Ee2 < 8. This paper is mainly concerned about the limiting distribution of the least square estimator of., that is.<^>, when errors are not identically distributed. In addition, we provide an approximate description of the limiting distribution of n-1 j=0.- j en- j when. > 1 as n -> infinity.
키워드
Explosive AR(1) process; Non-identical distribution; Least square estimator; LIMIT THEORY
- 제목
- Explosive AR(1) process with independent but not identically distributed errors
- 저자
- Kim, Tae Yoon; Hwang, Sun Young; Oh, Haejune
- 발행일
- 2020-09
- 유형
- Article; Early Access
- 권
- 49
- 호
- 3
- 페이지
- 702 ~ 721