Asymptotic Property of Least Squares Estimators for Explosive Autoregressive Models with a Drift
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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 relation 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. Consistency 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.
Abstract
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 relation 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. Consistency 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.
참고문헌 (12)
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