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- W2908447498 abstract "In this article, we consider a first-order autoregressive process yt=ρnyt−1+ut with n|1−ρn|→∞ as n→∞. The Gaussian limit theory and the Cauchy limit theory of the least absolute deviation estimator for the near-stationary process (ρn∈[0,1)) and the mildly explosive process (ρn>1) are derived, respectively. The results are complementary to the uniform limit theory of least squares estimators for stationary autoregressions in Giraitis and Phillips (2006 Giraitis, L., and P. C. B. Phillips. 2006. Uniform limit theory for stationary autoregression. Journal of Time Series Analysis 27 (1):51–60. doi:10.1111/j.1467-9892.2005.00452.x.[Crossref], [Web of Science ®] , [Google Scholar]). Some simulations are carried out to assess the performance of our procedure." @default.
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- W2908447498 date "2018-12-31" @default.
- W2908447498 modified "2023-10-17" @default.
- W2908447498 title "Asymptotic inference of least absolute deviation estimation for AR(1) processes" @default.
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- W2908447498 doi "https://doi.org/10.1080/03610926.2018.1549252" @default.
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