Least squares estimation in a simple random coefficient autoregressive model

Soren Johansen and Theis Lange

Journal of Econometrics, 2013, vol. 177, issue 2, 285-288

Abstract: The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable with p=P(st=1), independent of εt i.i.d. with mean zero and finite variance. We say that the process yt is persistent if the autoregressive coefficient ρˆn of yt on yt−1 is close to one. We take p<1Keywords: Time series; Explosive processes; Bubble models; Stable limits (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:177:y:2013:i:2:p:285-288

DOI: 10.1016/j.jeconom.2013.04.013

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