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Bootstrapping explosive autoregressive processes. (English) Zbl 0694.62038

Summary: Asymptotic validity of the bootstrap is established for the least squares estimate of the parameter of an explosive first-order autoregressive process. It is noted that nonnormal limit distributions are obtained for both the traditional and the bootstrap estimates. The theoretical bootstrap validity results are supported by appropriate simulation.

MSC:

62M09 Non-Markovian processes: estimation
62E20 Asymptotic distribution theory in statistics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07 Non-Markovian processes: hypothesis testing
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