On the first-order autoregressive process with infinite variance
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 354-362 |
| Journal / Publication | Econometric Theory |
| Volume | 5 |
| Issue number | 3 |
| Publication status | Published - Dec 1989 |
| Externally published | Yes |
Link(s)
Abstract
For a first-order autoregressive process Yt = βYt−1 + [formula omitted]t where the [formula omitted]t'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator bn of β is obtained for β = 1, and the limiting distribution of bn is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the [formula omitted]t'S are heavy-tailed. © 1989, Cambridge University Press. All rights reserved.
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Citation Format(s)
On the first-order autoregressive process with infinite variance. / Chan, Ngai Hang; Tran, Lanh Tat.
In: Econometric Theory, Vol. 5, No. 3, 12.1989, p. 354-362.
In: Econometric Theory, Vol. 5, No. 3, 12.1989, p. 354-362.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
