Double Asymptotics for an Explosive Continuous Time Model

Xiaohu Wang () and Jun Yu

No 16-2011, Working Papers from Singapore Management University, School of Economics

Abstract: This paper develops a double asymptotic limit theory for the persistent parameter () in an explosive continuous time model with a large number of time span (N) and a small number of sampling interval (h). The limit theory allows for the joint limits where N ! 1 and h ! 0 simultaneously, the sequential limits where N ! 1 is followed by h ! 0, and the sequential limits where h ! 0 is followed by N ! 1. All three asymptotic distributions are the same. The initial condition, either xed or random, appears in the limiting distribution. The simultaneous double asymptotic theory is derived by using results recently obtained in Phillips and Magdalinos (2007) for the mildly explosive discrete time model and so a invariance principle applies. However, our asymptotic distribution is di¤erent from what was reported in Perron (1991, Econometrica) where the sequential limits, h ! 0 followed by N ! 1, were considered. It is shown that the limit theory in Perron is not correct and the correct sequential asymptotic distribution is identical to the simultaneous double asymptotic distribution.

Pages: 21 pages
Date: 2011-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published in SMU Economics and Statistics Working Paper Series

Downloads: (external link)
https://mercury.smu.edu.sg/rsrchpubupload/19545/doubleasymptotics08.pdf
Our link check indicates that this URL is bad, the error code is: 500 Server closed connection without sending any data back

Related works:
Journal Article: Double asymptotics for explosive continuous time models (2016)
Working Paper: Double Asymptotics for Explosive Continuous Time Models (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:siu:wpaper:16-2011

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Singapore Management University, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by QL THor ().