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OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity
A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfyingρn → ρ ∈ (—∞, —1] ∪ [1, ∞) and n (|ρn| —1) → ∞.Drifting sequences of innovations and initial conditions are also considered. A standard specification of a short memory linear process for the autoregressive innovations is extended to a triangular array formulation both for the deterministic weights and for the primitive innovations of the linear process, which are allowed to be ...