Consistency and asymptotic normality in a class of nearly unstable processes

Marie Badreau () and Frédéric Proïa ()
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Marie Badreau: Le Mans Université
Frédéric Proïa: Univ Angers

Statistical Inference for Stochastic Processes, 2023, vol. 26, issue 3, No 6, 619-641

Abstract: Abstract This paper deals with inference in a class of stable but nearly-unstable processes. Autoregressive processes are considered, in which the bridge between stability and instability is expressed by a time-varying companion matrix $$A_{n}$$ A n with spectral radius $$\rho (A_{n})

Keywords: Nearly unstable autoregressive process; OLS estimation; Asymptotic behavior; Companion matrix; Unit root; Martingales; 62M10; 62F12; 60G52; 60G10; 60G42 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11203-023-09290-2

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