Asymptotic Property of Least Squares Estimators for Explosive Autoregressive Models with a Drift

• 발행기관: 한국계량경제학회
• 저자명: Jin Lee
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.32 No.4, 1~12쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.12.31

영문 초록

We study asymptotic inferences of the OLS estimator in the first order autoregressive model with an explosive root and a nonzero drift. Recent literatures focus on driftless model in dealing with explosive parameter in rela-tion with financial bubbles detection. We consider an extension by allowing a non-zero drift, where the process behaves as a linear time trend during the non-bubble period, and it exhibits an exponential trend during the explosive era. Con-sistency of the least squares estimator and of the right-tailed coefficient-based Dickey-Fuller unit root test are shown in case of the presence of drift term.

목차

Ⅰ. INTRODUCTION

Ⅱ. MAIN RESULTS

Ⅲ. CONCLUSION

Ⅳ. APPENDIX

REFERENCES

키워드

Explosive Root Drift Consistency Unit Root Test