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Phillips, P.C.B. and Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115-130.

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• 标题: 近爆炸性自回归序列中参数估计量的渐近性质Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process

  作者: 于明明, 孟娇

  关键字: 自回归序列, 最小二乘法估计量, 近爆炸Autoregressive Process, Least Squares Estimator, Near-Explosive

  期刊名称: 《Pure Mathematics》, Vol.4 No.6, 2014-11-26

  摘要: 本论文的目的是研究近爆炸性自回归序列中, 当，时参数最小二乘估计量的渐近分布。In this paper, we focus our attention on the following near-explosive autoregressive process: . When and in the near-explosive case, the asymptotic dis-tributions for the least squares estimator of can be obtained.