Vol.4 No.6 (November 2014)
Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process
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.
于明明 , 孟 娇 (2014) 近爆炸性自回归序列中参数估计量的渐近性质。 理论数学， 4， 261-267. doi: 10.12677/PM.2014.46038
 Anderson, T.W. (1959) On asymptotic distributions of estimators of parameters of stochastic difference equations. Annals of Mathematical Statistics, 32, 676-687.
 Zhou, Z.Z. and Lin, Z.Y. (1958) Asymptotic theory for LAD es-timation of moderate deviations from a unit root. Statistics and Probability Letters, 29, 1188-1197.
 Bercu, B. and Proia, F. (2013) A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autore-gressive process. ESAIM: Probability and Statistics, 17, 500-530.
 Chan, N.H. and Wei, C.Z. (1987) Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics, 15, 1050-1063.
 Nabeya, S. and Perron, P. (1994) Local asymptotic distributions related to the AR(1) model with dependent errors. Journal of Econometrics, 62, 229-264.
 Phillips, P.C.B. and Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115-130.
 Kallenberg, O. (2002) Foundations of modern probability. Springer, Berlin.