On limiting distributions in explosive autoregressive processes

Michael J. Monsour and Piotr W. Mikulski

Statistics & Probability Letters, 1998, vol. 37, issue 2, 141-147

Abstract: The limiting distribution is obtained for the maximum likelihood estimator in the AR(p) process with a random and nonrandom normalization and all characteristic roots outside the unit circle, purely explosive process. Though these results have been in the literature, proofs have been omitted. A detailed proof of these results will be presented. With a random normalization the limiting distribution is multivariate standard normal.

Keywords: Purely explosive autoregressive process Characteristic roots Jordan normal; canonical form (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (4)

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