Sample path properties of an explosive double autoregressive model

被引：6

作者：

Liu, Feng ^{[1
]}

Li, Dong ^{[2
]}

Kang, Xinmei ^{[1
]}

机构：

[1] Chongqing Univ Technol, Sch Math & Stat, Chongqing, Peoples R China

[2] Tsinghua Univ, Ctr Stat Sci, Beijing 100084, Peoples R China

来源：

ECONOMETRIC REVIEWS | 2018年 / 37卷 / 05期

关键词：

Double AR model; explosion; geometric Brownian motion; Lyapunov exponent; nonstationarity; random coefficient AR model; EXPONENTIAL LIKELIHOOD ESTIMATORS; DOUBLE AR(P) MODEL; AR-ARCH MODELS; CONDITIONAL HETEROSCEDASTICITY; ASYMPTOTIC INFERENCE; AR(1) PROCESS; ERRORS; STATIONARY; BEHAVIOR; GARCH;

D O I：

10.1080/07474938.2015.1092841

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article studies sample path properties of an explosive double autoregressive (DAR) model. After suitable renormalization, it is shown that the sample path converges weakly to a geometric Brownian motion. This further strengthens our understanding of sample paths of nonstationary DAR processes. The obtained results can be extended to nonstationary random coefficient autoregressive (RCA) models. Simulation studies are carried out to support our results.

引用

页码：484 / 490

页数：7

共 50 条

[1] On the sample variance of explosive random coefficient autoregressive processes
Chong, Terence Tai-Leung
Leung, Wai-Kit
APPLIED MATHEMATICS LETTERS, 2011, 24 (12) : 2077 - 2081
[2] On a Threshold Double Autoregressive Model
Li, Dong
Ling, Shiqing
Zhang, Rongmao
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2016, 34 (01) : 68 - 80
[3] On a vector double autoregressive model
Zhu, Huafeng
Zhang, Xingfa
Liang, Xin
Li, Yuan
STATISTICS & PROBABILITY LETTERS, 2017, 129 : 86 - 95
[4] Sample Path Properties
Barndorff-Nielsen, Ole E.
Bertoin, Jean
Jacod, Jean
Klueppelberg, Claudia
LEVY MATTERS III: LEVY-TYPE PROCESSES: CONSTRUCTION, APPROXIMATION AND SAMPLE PATH PROPERTIES, 2013, 2099 : 111 - 140
[5] Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Das, D
Kelejian, HH
Prucha, IR
PAPERS IN REGIONAL SCIENCE, 2003, 82 (01) : 1 - 26
[6] DOUBLE POINTS OF A GAUSSIAN SAMPLE PATH
KONO, N
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1978, 45 (02): : 175 - 180
[7] SMALL-SAMPLE PROPERTIES OF PREDICTIONS FROM THE REGRESSION-MODEL WITH AUTOREGRESSIVE ERRORS
SPITZER, JJ
BAILLIE, RT
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1983, 78 (382) : 258 - 263
[8] BOOTSTRAPPING EXPLOSIVE AUTOREGRESSIVE PROCESSES
BASAWA, IV
MALLIK, AK
MCCORMICK, WP
TAYLOR, RL
ANNALS OF STATISTICS, 1989, 17 (04): : 1479 - 1486
[9] FINITE SAMPLE AIC FOR AUTOREGRESSIVE MODEL ORDER SELECTION
Karimi, Mahmood
ICSPC: 2007 IEEE INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING AND COMMUNICATIONS, VOLS 1-3, PROCEEDINGS, 2007, : 1219 - 1222
[10] Finite sample criteria for autoregressive model order selection
Karimi, M.
IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION B-ENGINEERING, 2007, 31 (B3): : 329 - 344

← 1 2 3 4 5 →