Asymptotic properties of mildly explosive processes with locally stationary disturbance

【Author】 Hirukawa, Junichi; Lee, Sangyeol

【Source】METRIKA

【影响因子】0.960

【Abstract】In this study, we derive the limiting distribution of the least squares estimator (LSE) and the localized LSE for mildly explosive autoregressive models with locally stationary disturbance and verify that it is Cauchy as in the iid case. We also investigate the limiting distribution of two types of Dickey-Fuller unit root tests, designed for detecting a bubble period in economic time series data, and show that these tests are consistent. To evaluate the methods, we conduct a simulation study and carry out a data analysis using time series data on bitcoin prices.

【Keywords】Mildly explosive autoregression; Locally stationary process; Limit theorem for the least squares estimator; Bubble and crash detection; Bitcoin data

【发表时间】2020 MAY

【收录时间】2022-01-02

【文献类型】

【主题类别】

--