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• W4293490225 abstract "This paper concerns the asymptotic properties of the quadratic functionals and associated ordinary least squares estimator in the explosive first-order Gaussian autoregressive process. By the deviation inequalities for multiple Wiener-Itô integrals and asymptotic analysis techniques, Cramér-type moderate deviations are achieved under the explosive and mildly explosive frameworks. As applications, the global and local powers for the unit root test are shown to approach one at exponential rates. Simulation experiments are conducted to confirm the theoretical results." @default.
• W4293490225 created "2022-08-29" @default.
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• W4293490225 date "2022-11-01" @default.
• W4293490225 modified "2023-09-27" @default.
• W4293490225 title "Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process" @default.
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• W4293490225 doi "https://doi.org/10.3150/21-bej1432" @default.
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