Wang, Xiaohu; Yu, Jun - In: Economics Letters 126 (2015) C, pp. 176-180
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...