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Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors

Yiu Lim Lui (), Weilin Xiao () and Jun Yu ()
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Yiu Lim Lui: School of Economics, Singapore Management University
Weilin Xiao: School of Management, Zhejiang University

No 22-2018, Economics and Statistics Working Papers from Singapore Management University, School of Economics

Abstract: This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips, Magdalinos and Giraitis (2010) by allowing for serially correlated errors of various forms in local-to mild-explosive autoregressive models. It is shown that the result of smooth transition in the limit theory between local-to-unity and mild-explosiveness remains valid for the LS estimator. Finally, the limit theory for autoregression with intercept is developed.

Keywords: Anti-persistent; unit root; mildly explosive; limit theory; bubble; fractional integration; Young integral (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2018-12-15
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-sea
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