This paper develops a double asymptotic limit theory for the persistent parameter (k) in explosive continuous time models driven by Lévy processes with a large number of time span (N) and a small number of sampling interval (h). The simultaneous double asymptotic theory is derived using a...

This paper develops a double asymptotic limit theory for the persistent parameter () in an explosive continuous time model with a large number of time span (N) and a small number of sampling interval (h). The limit theory allows for the joint limits where N ! 1 and h ! 0 simultaneously, the...

Large sample properties are studied for a …rst-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coe¢ cient, the least- squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...

Based on the Girsanov theorem, this paper obtains the exact finite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact finite sample theory suggests that, in empirically realistic situations, there is a strong finite sample...