Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 王?虎教授 (经济学系) |
全文
| 数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○ |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL
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摘要Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process. (C) http://aims.cuhk.edu.hk/converis/portal/Publication/2014 Elsevier B.V. All rights reserved.
着者Wang XH, Yu J
期刊名称Economics Letters
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2015
月份1
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/26
出版社Elsevier
页次176 - 180
国际标準期刊号0165-1765
电子国际标準期刊号1873-7374
语言英式英语
关键词Bubbles; Explosive model; Intercept; Invariance principle
Web of Science 学科类别Business & Economics; Economics
