Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 이진 | - |
dc.date.accessioned | 2022-03-03T16:31:02Z | - |
dc.date.available | 2022-03-03T16:31:02Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 1229-2893 | - |
dc.identifier.other | OAK-30776 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/260806 | - |
dc.description.abstract | We study asymptotic inferences of the OLS estimator in the first order autoregressive model with an explosive root and a nonzero drift. Recent literatures focus on driftless model in dealing with explosive parameter in rela-tion with financial bubbles detection. We consider an extension by allowing a non-zero drift, where the process behaves as a linear time trend during the non-bubble period, and it exhibits an exponential trend during the explosive era. Consistency of the least squares estimator and of the right-tailed coefficient-based Dickey-Fuller unit root test are shown in case of the presence of drift term. © 2021, Korean Econometric Society. All rights reserved. | - |
dc.language | English | - |
dc.publisher | Korean Econometric Society | - |
dc.subject | Consistency | - |
dc.subject | Drift | - |
dc.subject | Explosive Root | - |
dc.subject | Unit Root Test | - |
dc.title | Asymptotic property of least squares estimators for explosive autoregressive models with a drift | - |
dc.type | Article | - |
dc.relation.issue | 4 | - |
dc.relation.volume | 32 | - |
dc.relation.index | SCOPUS | - |
dc.relation.startpage | 1 | - |
dc.relation.lastpage | 12 | - |
dc.relation.journaltitle | Journal of Economic Theory and Econometrics | - |
dc.identifier.scopusid | 2-s2.0-85121854603 | - |
dc.author.google | Lee J. | - |
dc.contributor.scopusid | 이진(55870664400) | - |
dc.date.modifydate | 20220303163433 | - |