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

[31] On the sample path properties of mixed Poisson processes
Fu, Miaoqi
Peng, Xianhua
OPERATIONS RESEARCH LETTERS, 2018, 46 (01) : 1 - 6
[32] SAMPLE PATH PROPERTIES OF PROCESSES WITH STABLE COMPONENTS
PRUITT, WE
TAYLOR, SJ
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1969, 12 (04): : 267 - &
[33] Empirical properties of forecasts with the functional autoregressive model
Devin Didericksen
Piotr Kokoszka
Xi Zhang
Computational Statistics, 2012, 27 : 285 - 298
[34] FINITE-SAMPLE PROPERTIES OF ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS
ANSLEY, CF
NEWBOLD, P
JOURNAL OF ECONOMETRICS, 1980, 13 (02) : 159 - 183
[35] Small sample properties of some tests for cointegration in vector autoregressive models
Ahlgren, N
EKONOMISKA SAMFUNDETS TIDSKRIFT, 2003, 56 (02): : 91 - +
[36] Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models
Price, Larry R.
STRUCTURAL EQUATION MODELING-A MULTIDISCIPLINARY JOURNAL, 2012, 19 (01) : 51 - 64
[37] Empirical properties of forecasts with the functional autoregressive model
Didericksen, Devin
Kokoszka, Piotr
Zhang, Xi
COMPUTATIONAL STATISTICS, 2012, 27 (02) : 285 - 298
[38] Properties of three dimensional vector autoregressive model
Fujiki, J
Tanaka, M
VISION GEOMETRY VIII, 1999, 3811 : 224 - 235
[39] A small sample correction for the test of cointegrating rank in the vector autoregressive model
Johansen, S
ECONOMETRICA, 2002, 70 (05) : 1929 - 1961
[40] Analytic finite sample criteria for autoregressive-model order selection
Karimi, M
Bastani, MH
CANADIAN JOURNAL OF ELECTRICAL AND COMPUTER ENGINEERING-REVUE CANADIENNE DE GENIE ELECTRIQUE ET INFORMATIQUE, 2001, 26 (01): : 9 - 12

← 1 2 3 4 5 →